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

Christian Francq and Jean-Michel Zakoïan
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Jean-Michel Zakoïan: LFA - Laboratoire de Finance Assurance - Centre de Recherche en Économie et Statistique (CREST) - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique, EQUIPPE - Economie Quantitative, Intégration, Politiques Publiques et Econométrie - Université de Lille, Sciences et Technologies - Université de Lille, Sciences Humaines et Sociales - PRES Université Lille Nord de France - Université de Lille, Droit et Santé

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Date: 2013-10
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Published in Journal of Business and Economic Statistics, 2013, 31 (4), pp.412-425. ⟨10.1080/07350015.2013.801776⟩

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Related works:
Journal Article: Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions (2013)
Working Paper: Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417510

DOI: 10.1080/07350015.2013.801776

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