Fourier-type estimation of the power GARCH model with stable-Paretian innovations

Christian Francq () and Simos Meintanis
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Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris
Simos Meintanis: NKUA - National and Kapodistrian University of Athens

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Date: 2015-09-19
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Published in Metrika, 2015, 79 (4), pp.389-424. ⟨10.1007/s00184-015-0560-x⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417341

DOI: 10.1007/s00184-015-0560-x

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