Testing the stable Paretian assumption

DOI10.1016/S0895-7177(01)00118-2zbMATH Open1003.62071OpenAlexW2013525650WikidataQ128066856 ScholiaQ128066856MaRDI QIDQ1600528FDOQ1600528

Authors: Marc S. Paolella 

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00118-2

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zbMATH Keywords

GARCHHill estimatorsummabilitytail indexempirical finance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• Regression and time series model selection in small samples
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• A simple estimator for the characteristic exponent of the stable Paretian distribution
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• Parameter Estimates for Symmetric Stable Distributions
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• Maximum likelihood estimation of stable Paretian models.
• Stationarity of stable power-GARCH processes.
• On the Stable Paretian Behavior of Stock-Market Prices
• Handbook of econometrics. Vol. 4
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• On the relation between GARCH and stable processes
• A tail estimator for the index of the stable paretian distribution^∗
• An approximation procedure for asymmetric stable Paretian densities
• The limiting distribution of extremal exchange rate returns
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Cited In (15)

• Estimating the codifference function of linear time series models with infinite variance
• Title not available (Why is that?)
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Testing for independence in heavy-tailed time series using the codifference function
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Title not available (Why is that?)
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Exact multivariate tests of asset pricing models with stable asymmetric distributions
• Title not available (Why is that?)
• Stationarity of stable power-GARCH processes.
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence
• Title not available (Why is that?)
• Stable mixture GARCH models

Uses Software

• STABLE
• SYMSTB

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