Tail behavior and OLS based robust inference in AR-GARCH models

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Standard

Tail behavior and OLS based robust inference in AR-GARCH models. / Lange, T.

I: Statistica Sinica, Bind 21, Nr. 3, 2011, s. 1191-1200.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Lange, T 2011, 'Tail behavior and OLS based robust inference in AR-GARCH models', Statistica Sinica, bind 21, nr. 3, s. 1191-1200. https://doi.org/10.5705/ss.2009.066

APA

Lange, T. (2011). Tail behavior and OLS based robust inference in AR-GARCH models. Statistica Sinica, 21(3), 1191-1200. https://doi.org/10.5705/ss.2009.066

Vancouver

Lange T. Tail behavior and OLS based robust inference in AR-GARCH models. Statistica Sinica. 2011;21(3):1191-1200. https://doi.org/10.5705/ss.2009.066

Author

Lange, T. / Tail behavior and OLS based robust inference in AR-GARCH models. I: Statistica Sinica. 2011 ; Bind 21, Nr. 3. s. 1191-1200.

Bibtex

@article{466a7c8cecc644a0b734608c5467db3d,
title = "Tail behavior and OLS based robust inference in AR-GARCH models",
abstract = "The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, Davis, and Mikosch (2002b) to another empirical relevant model class. Second, and primarily, we study properties for the OLS estimator in general AR-GARCH model. Specifically it is shown that the OLS estimator of the autoregressive parameter in the AR-GARCH model has a non-standard limiting distribution with a non-standard rate of convergence when the innovations have non-finite fourth order moment.",
author = "T Lange",
year = "2011",
doi = "10.5705/ss.2009.066",
language = "English",
volume = "21",
pages = "1191--1200",
journal = "Statistica Sinica",
issn = "1017-0405",
publisher = "Academia Sinica Institute of Statistical Science",
number = "3",

}

RIS

TY - JOUR

T1 - Tail behavior and OLS based robust inference in AR-GARCH models

AU - Lange, T

PY - 2011

Y1 - 2011

N2 - The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, Davis, and Mikosch (2002b) to another empirical relevant model class. Second, and primarily, we study properties for the OLS estimator in general AR-GARCH model. Specifically it is shown that the OLS estimator of the autoregressive parameter in the AR-GARCH model has a non-standard limiting distribution with a non-standard rate of convergence when the innovations have non-finite fourth order moment.

AB - The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, Davis, and Mikosch (2002b) to another empirical relevant model class. Second, and primarily, we study properties for the OLS estimator in general AR-GARCH model. Specifically it is shown that the OLS estimator of the autoregressive parameter in the AR-GARCH model has a non-standard limiting distribution with a non-standard rate of convergence when the innovations have non-finite fourth order moment.

U2 - 10.5705/ss.2009.066

DO - 10.5705/ss.2009.066

M3 - Journal article

VL - 21

SP - 1191

EP - 1200

JO - Statistica Sinica

JF - Statistica Sinica

SN - 1017-0405

IS - 3

ER -

ID: 33248716