Limit theory and robust evaluation methods for the extremal properties of GARCH(p, q) processes (2022)

First Author: Laurini F
Attributed to:  CoSInES (COmputational Statistical INference for Engineering and Security) funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/s11222-022-10164-5

Publication URI: http://dx.doi.org/10.1007/s11222-022-10164-5

Type: Journal Article/Review

Parent Publication: Statistics and Computing

Issue: 6