On testing the adequacy of stable processes under conditional heteroscedasticity
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 9 (2002)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/jempfin
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Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3108733, Tilburg University.
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- Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006.
"Estimation of stable distributions by indirect inference,"
CORE Discussion Papers
2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
- Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
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