Stable Limit Theory for the Variance Targeting Estimator
In: Essays in Honor of Peter C. B. Phillips
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DOI: 10.1108/S0731-905320140000033018
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Cited by:
- Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
- Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
- Qi Li & Fukang Zhu, 2020. "Mean targeting estimator for the integer-valued GARCH(1, 1) model," Statistical Papers, Springer, vol. 61(2), pages 659-679, April.
- Rasmus Pedersen & Olivier Wintenberger, 2017.
"On the tail behavior of a class of multivariate conditionally heteroskedastic processes,"
Papers
1701.05091, arXiv.org, revised Dec 2017.
- Rasmus Søndergaard Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Post-Print hal-01436267, HAL.
- Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016.
"Variance Targeting Estimation of Multivariate GARCH Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014. "Variance targeting estimation of multivariate GARCH models," MPRA Paper 57794, University Library of Munich, Germany.
- Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Working Papers hal-01436267, HAL.
- Pedersen, Rasmus Søndergaard, 2016.
"Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments,"
Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
- Rasmus Søndergaard Pedersen, 2014. "Targeting estimation of CCC-Garch models with infinite fourth moments," Discussion Papers 14-04, University of Copenhagen. Department of Economics.
- Stanislav Anatolyev & Stanislav Khrapov, 2015. "Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting," Econometrics, MDPI, vol. 3(3), pages 1-23, August.
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Keywords
GARCH; variance targeting; heavy tails; C220; C580;All these keywords.
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Statistics
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