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Results 1-2 of 2 (Search time: 0.01 seconds).
Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations
Hwang, Eunju
Article
Issue Date
2021
Citation
Mathematics, v.9, no.8
Publisher
MDPI
A note on the asymptotic normality theory of the least squares estimates in multivariate HAR-RV models
Hong, Won-Tak; Lee, Jiwon;
Hwang, Eunju
Article
Issue Date
2020
Citation
Mathematics, v.8, no.11, pp.1 - 18
Publisher
MDPI AG
1
Discover
Author
Hwang, Eun Ju
2
Hong, Won-Tak
1
Lee, Jiwon
1
Subject
Asymptotic normality
1
Augmented GARCH
1
Autoregression
1
Exponentially weighted HAR models
1
Heavy-tailed
1
Least squares estimation
1
Limit theory
1
Multivariate HAR models
1
Date Issued
2021
1
2020
1
Type
Article
2
Language
English
2
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