ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
By Oliver B. Linton, Jiazhu Pan, Hui Wang. Econometric Theory, 2009
79 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/548677b0a1873c68d152a14b5f269797174bccfa
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Citations in the corpus
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016, background): “See, e.g., Drost and Nijman (1993), Escanciano (2009) and Linton et al. (2010). where qYt|Xt=x(a) denotes the conditional a-quantile associated with FYt|Xt=x and q(a) is the a-quantile associated with F .”
- PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS (2011, unknown): “Serial dependence in the rescaled errors is allowed by Lee and Hansen (1994), who assume them to form a stationary and ergodic process, and, quite recently, also by Escanciano (2009) and Linton, Pan, and Wang (2010).”
- Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models (2012, unknown): “4See Linton, Pan, and Wang (2010) for extensions in the case of non-i.i.d. errors.”