Stable limits of martingale transforms with application to the estimation of Garch parameters

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Author
Mikosch, Thomas
Straumann, Daniel
Date
2006-02
Type
    Journal Article
Publication status
published
External links
Journal / series
The Annals of Statistics
Volume
34(1)
Pages / Article No.
493 - 522
Publisher
Institute of Mathematical Statistics
Subject
GARCH process; Gaussian quasi-maximum likelihood; Regular variation; Infinite variance; Stable distribution; Stochastic recurrence equation; Mixing
Organisational unit
02204 - RiskLab / RiskLab  
Notes
Received November 2003, Revised March 2005.
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