Fourier-type estimation of the power GARCH model with stable-Paretian innovations

Multivariate elliptically contoured stable distributions: theory and estimation

(2013) John P. Nolan   COMPUTATIONAL STATISTICS

Modeling fat tails in stock returns: a multivariate stable-GARCH approach

(2011) Matteo Bonato   COMPUTATIONAL STATISTICS

Brownian distance covariance

(2010) Gábor J. Székely et al.   Annals of Applied Statistics

Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

(2010) Tawfik Hamadeh et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Maximum likelihood estimation for α -stable autoregressive processes

(2009) Beth Andrews et al.   ANNALS OF STATISTICS

Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes

(2009) Emanuele Taufer et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE