Martingale Transforms with Mixed Stable Limits and the QMLE for Conditionally Heteroskedastic Models

Stelios Arvanitis and Alexandros Louka

No 201508, Working Papers from Athens University Of Economics and Business, Department of Economics

Pages: 45 pages
Date: 2015-08
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Working Paper: MARTINGALE TRANSFORMS WITH MIXED STABLE LIMITS AND THE QMLE FOR CONDITIONALLY ETEROSKEDASTIC MODELS (2017)
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