Testing the existence of moments for GARCH processes

It is generally admitted that many financial time series have heavy tailed marginal distributions. When time series models are fitted on such data, the non-existence of appropriate moments may invalidate standard statistical tools used for inference. Moreover, the existence of moments can be crucial...

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Bibliographic Details
Published in:	Journal of econometrics Vol. 227; no. 1; pp. 47 - 64
Main Authors:	Francq, Christian, Zakoïan, Jean-Michel
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.03.2022 Elsevier Sequoia S.A
Subjects:	Conditional heteroskedasticity econometrics Efficiency comparisons empirical research Experiments Financial analysis Inference Innovations Marginal analysis Mathematical models Non-Gaussian QMLE Residual bootstrap risk Risk management Stationarity tests Statistical analysis Stochastic models Time series time series analysis Conditional heteroskedasticity Stationarity tests C12 Non-Gaussian QMLE Residual bootstrap C13 and C22 Efficiency comparisons
ISSN:	0304-4076, 1872-6895
Online Access:	Get full text
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