Article ID: | iaor2004871 |
Country: | Netherlands |
Volume: | 34 |
Issue: | 9/11 |
Start Page Number: | 1145 |
End Page Number: | 1158 |
Publication Date: | Nov 2001 |
Journal: | Mathematical and Computer Modelling |
Authors: | Rachev S.T., Mittnik S., Paulauskas V. |
Keywords: | finance & banking, simulation: languages & programs |
We consider the problem of statistical inference in a bivariate time series regression model when the innovations are heavy-tailed and the ordinary least squares (OLS) estimator is used for parameter estimation. We develop the asymptotic theory for the OLS estimator and the corresponding