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Targeting estimation of CCC-GARCH models with infinite fourth moments
Rasmus Søndergaard Pedersen
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Keyphrases
Data Generating Process
100%
Variance Targeting
100%
CCC-GARCH
100%
Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
100%
Infinite Fourth Moment
100%
Univariate GARCH
33%
Derived Properties
33%
Asymptotic Normality
33%
Limit Theory
33%
Consistency Rate
33%
Simulation Study
33%
Large Sample Properties
33%
Fourth Moment
33%
Financial Returns
33%
Consistent Estimator
33%
Estimation Method
33%
Constant Conditional Correlation
33%
Multivariate GARCH Models
33%
Moment Conditions
33%
Tail Shape
33%
Quasi-maximum Likelihood Estimation
33%
Limiting Distribution
33%
Mathematics
GARCH Model
100%
Variance
75%
Estimation Method
25%
Asymptotic Normality
25%
Simulation Study
25%
Limiting Distribution
25%
Moment Condition
25%
Maximum Likelihood
25%
Conditionals
25%
Economics, Econometrics and Finance
ARCH Model
100%
Estimation Theory
25%