Whittle estimation in a heavy-tailed GARCH(1,1) model

Thomas Valentin Mikosch, Daniel Yannik Straumann

Research output: Contribution to journal › Journal article › Research › peer-review

28 Citations (Scopus)

Original language	English
Journal	Stochastic Processes and Their Applications
Volume	100
Issue number	1-2
Pages (from-to)	187-222
ISSN	0304-4149
Publication status	Published - 2002

Cite this

@article{a0f6ae0074c211dbbee902004c4f4f50,

title = "Whittle estimation in a heavy-tailed GARCH(1,1) model",

author = "Mikosch, {Thomas Valentin} and Straumann, {Daniel Yannik}",

year = "2002",

language = "English",

volume = "100",

pages = "187--222",

journal = "Stochastic Processes and Their Applications",

issn = "0304-4149",

publisher = "Elsevier BV * North-Holland",

number = "1-2",

}