Browsing by Subject "Heavy-tailed distribution"
Now showing items 1-3 of 3
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Characteristic function-based inference for GARCH models with heavy-tailed innovations
(Taylor & Francis, 2017)We consider estimation and goodness-of-fit tests in GARCH models with innovations following a heavy-tailed and possibly asymmetric distribution. Although the method is fairly general and applies to GARCH models with arbitrary ... -
Fourier inference for stochastic volatility models with heavy-tailed innovations
(Springer, 2018)We consider estimation of stochastic volatility models which are driven by a heavy-tailed innovation distribution. Exploiting the simple structure of the characteristic function of suitably transformed observations we ... -
Fourier-type estimation of the power GARCH model with stable-Paretian innovations
(Springer, 2016)We consider estimation for general power GARCH models under stable-Paretian innovations. Exploiting the simple structure of the conditional characteristic function of the observations driven by these models we propose ...