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Estimating GARCH type models with symmetric stable innovations: Indirect inference versus maximum likelihood

date accessioned2020-03-11T15:43:49Z
date available2020-03-11T15:43:49Z
date issued2014
identifier issn0167-9473
identifier urihttp://libsearch.um.ac.ir:80/fum/handle/fum/583056?locale-attribute=fa&show=full
formatgeneral
languageEnglish
publisherElsevier Science
titleEstimating GARCH type models with symmetric stable innovations: Indirect inference versus maximum likelihood
typeJournal Paper
contenttypeMetadata Only
identifier padid4443349
subject keywordsSymmetric α
subject keywordsGARCH
subject keywordsIndirect inference
subject keywordsMaximum likelihood
subject keywordsLeverage effects
subject keywordsStudent’s t distribution
identifier doi10.1016/j.csda.2013.07.028
journal titleComputational Statistics & Data Analysis
journal volume76
journal issue0
filesize459921
citations0
contributor rawauthorCalzolari, Giorgio - Halbleib, Roxana - Parrini, Alessandro


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