Robust Estimation and Inference for Heavy Tailed GARCH: Supplemental Material
نویسنده
چکیده
We prove Lemmas A.1, A.3, A.4 and A.6, and Lemmas B.1 and B.2. Assume all functions satisfy Pollard’s (1984) permissibility criteria, the measure space that governs all random variables in this paper is complete, and therefore all majorants are measurable. Cf. Dudley (1978). Probability statements are therefore with respect to outer probability, and expectations over majorants are outer expectations. Recall
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تاریخ انتشار 2014