Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions

Christian Francq and Jean-Michel Zakoian

No 2011-30, Working Papers from Center for Research in Economics and Statistics

Keywords: alpha-stable distribution; composite likelihood; GEV distribution; GPD; pseudo-likelihood; quasi-marginal maximum likelihood; stock returns distributions (search for similar items in EconPapers)
Pages: 50
Date: 2011
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
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Citations: View citations in EconPapers (1)

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Journal Article: Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions (2013)
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