Inference in Arch and Garch Models with Heavy-Tailed Errors
نویسندگان
چکیده
منابع مشابه
A multivariate heavy-tailed distribution for ARCH/GARCH residuals
A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multiparameter numerical maximum likelihood is also given, and a real data example is worked out. JEL codes: C3; C5.
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ژورنال
عنوان ژورنال: Econometrica
سال: 2003
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00396