Stable limits of martingale transforms with application to the estimation of GARCH parameters

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

Standard

Stable limits of martingale transforms with application to the estimation of GARCH parameters. / Mikosch, Thomas Valentin; Straumann, Daniel Yannik.

In: Annals of Statistics, Vol. 34, No. 1, 2006, p. 493-522.

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

Harvard

Mikosch, TV & Straumann, DY 2006, 'Stable limits of martingale transforms with application to the estimation of GARCH parameters', Annals of Statistics, vol. 34, no. 1, pp. 493-522.

APA

Mikosch, T. V., & Straumann, D. Y. (2006). Stable limits of martingale transforms with application to the estimation of GARCH parameters. Annals of Statistics, 34(1), 493-522.

Vancouver

Mikosch TV, Straumann DY. Stable limits of martingale transforms with application to the estimation of GARCH parameters. Annals of Statistics. 2006;34(1):493-522.

Author

Mikosch, Thomas Valentin ; Straumann, Daniel Yannik. / Stable limits of martingale transforms with application to the estimation of GARCH parameters. In: Annals of Statistics. 2006 ; Vol. 34, No. 1. pp. 493-522.

Bibtex

@article{638856406c3811dcbee902004c4f4f50,
title = "Stable limits of martingale transforms with application to the estimation of GARCH parameters",
author = "Mikosch, {Thomas Valentin} and Straumann, {Daniel Yannik}",
year = "2006",
language = "English",
volume = "34",
pages = "493--522",
journal = "Annals of Statistics",
issn = "0090-5364",
publisher = "Institute of Mathematical Statistics",
number = "1",

}

RIS

TY - JOUR

T1 - Stable limits of martingale transforms with application to the estimation of GARCH parameters

AU - Mikosch, Thomas Valentin

AU - Straumann, Daniel Yannik

PY - 2006

Y1 - 2006

M3 - Journal article

VL - 34

SP - 493

EP - 522

JO - Annals of Statistics

JF - Annals of Statistics

SN - 0090-5364

IS - 1

ER -

ID: 1120617