Whittle estimation in a heavy-tailed GARCH(1,1) model

Thomas Valentin Mikosch, Daniel Yannik Straumann

23 Citationer (Scopus)

Originalsprog	Engelsk
Tidsskrift	Stochastic Processes and Their Applications
Vol/bind	100
Udgave nummer	1-2
Sider (fra-til)	187-222
ISSN	0304-4149
Status	Udgivet - 2002

Citationsformater

@article{a0f6ae0074c211dbbee902004c4f4f50,

title = "Whittle estimation in a heavy-tailed GARCH(1,1) model",

author = "Mikosch, {Thomas Valentin} and Straumann, {Daniel Yannik}",

year = "2002",

language = "English",

volume = "100",

pages = "187--222",

journal = "Stochastic Processes and Their Applications",

issn = "0304-4149",

publisher = "Elsevier BV * North-Holland",

number = "1-2",

}