Ideas:
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I am currently working on establishing as regularly varying certain threshold GARCH processes, while allowing the innovations to these processes to be skewed. Based on this property of regular variation, I am then determining the distributional limits of OLS and linear two-stage-least-squares estimators for these threshold GARCH processes under conditions that support heavy-tailed return distributions. In addition to being simple, these proposed estimators compare favorably against recently proposed two-step, non-linear estimators intended to improve upon the efficiency of quasi-maximum-likelihood estimation.
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