Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference

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Field	Value	Language
dc.contributor.author	Hill, Jonathan B.
dc.contributor.author	Prokhorov, Artem
dc.date.accessioned	2015-09-11
dc.date.available	2015-09-11
dc.date.issued	2015-09-11
dc.identifier.uri	http://hdl.handle.net/2123/13797
dc.description.abstract	The following supplemental material contains an omitted simulation experiment, and omitted proofs of theorems and preliminary lemmata. Section S contains simulation results, and Section A contains an appendix with omitted proofs.	en
dc.language.iso	en_US	en
dc.publisher	Business Analytics.
dc.relation.ispartofseries	BAWP-2015-04	en
dc.rights	Other	en
dc.subject	GARCH	en
dc.subject	Heavy-Tailed	en
dc.subject	GEL	en
dc.title	Supplemental Material for GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference	en
dc.type	Working Paper	en
usyd.faculty	The University of Sydney Business School, Discipline of Business Analytics	en