Fourier--type estimation of the power garch model with stable--paretian innovations
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- Christian Francq & Simos G. Meintanis, 2016. "Fourier-type estimation of the power GARCH model with stable-Paretian innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(4), pages 389-424, May.
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- repec:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492 is not listed on IDEAS
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-28, May.
More about this item
KeywordsGARCH model; Minimum distance estimation; Heavy--tailed distribution; Empirical characteristic function;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-13 (All new papers)
- NEP-ECM-2012-10-13 (Econometrics)
- NEP-ETS-2012-10-13 (Econometric Time Series)
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