Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
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DOI: 10.1080/07474938.2016.1224024
Abstract: ABSTRACT For a GARCH(1,1) sequence or an AR(1) model with ARCH(1) errors, one can estimate the tail index by solving an estimating equation with unknown parameters replaced by the quasi maximum likelihood estimation, and a… read more here.
Keywords: arch errors; tail index; model arch; model ... See more keywords