Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

Jonathan B. Hill and Artem Prokhorov

No 2015-04, Working Papers from University of Sydney Business School, Discipline of Business Analytics

Abstract: The following supplemental material contains an omitted simulation experiment, and omitted proofs of theorems and preliminary lemmata. Section S contains simulation results, and Section A contains an appendix with omitted p roofs.

Keywords: GEL; Heavy-Tailed; GARCH (search for similar items in EconPapers)
Date: 2015-09-11
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Persistent link: https://EconPapers.repec.org/RePEc:syb:wpbsba:2123/13797

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