Interval estimation of the tail index of a GARCH(1,1) model

Interval estimation of the tail index of a GARCH(1,1) model

Ngai Hang Chan, Liang Peng, Rongmao Zhang
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Volume:
21
Language:
english
DOI:
10.1007/s11749-011-0264-0
Date:
September, 2012
File:
PDF, 610 KB
english, 2012
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