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Martingale Transforms With Mixed Stable Limits And The Qmle For Conditionally Eteroskedastic Models

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  • Stelios Arvanitis

    (Athens University of Economics and Business)

  • Alexandros Louka

    (Athens University of Economics and Business)

Abstract

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Suggested Citation

  • Stelios Arvanitis & Alexandros Louka, 2017. "Martingale Transforms With Mixed Stable Limits And The Qmle For Conditionally Eteroskedastic Models," Working Papers 201704, Athens University Of Economics and Business, Department of Economics.
    • Handle: RePEc:aeb:wpaper:201704:y:2017
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    Cited by:

    1. Karim M Abadir, 2023. "Explicit minimal representation of variance matrices, and its implication for dynamic volatility models," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 88-104.
    2. Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.

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