Robust inference in AR-G/GARCH models under model uncertainty

Keyphrases

• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Robust Inference 100%
• Model Uncertainty 100%
• Mallow 100%
• GJR-GARCH 100%
• Simulation Experiment 50%
• Model Selection 50%
• Confidence Interval 50%
• Asymptotic Results 50%
• Averaging Estimators 50%
• Model Averaging 50%
• Weight-based 50%
• Limiting Distribution 50%
• Model Average 50%
• Robustness Testing 50%
• Number of Groups 50%
• Autoregressive Parameters 50%
• Student-t Distribution 50%
• AR Model 50%
• Numerical Performance 50%
• Stable Family 50%
• Finite Sample Tests 50%

Mathematics

• Asymptotics 100%
• GARCH Model 100%
• Robust Test 50%
• Confidence Interval 50%
• Limiting Distribution 50%
• Type Method 50%
• Fixed Number 50%
• Type Model 50%
• AR Model 50%

Economics, Econometrics and Finance

• ARCH Model 100%
• Robust Statistics 100%
• Generalized Autoregressive Conditional Heteroskedasticity 100%