Testing the stable Paretian assumption

DOI10.1016/S0895-7177(01)00118-2MaRDI QIDQ1600528zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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• A simple estimator for the characteristic exponent of the stable Paretian distribution
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• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• On the relation between GARCH and stable processes
• Parameter Estimates for Symmetric Stable Distributions
• Quadratic ARCH Models
• Regression and time series model selection in small samples
• Simple consistent estimators of stable distribution parameters
• Stationarity of stable power-GARCH processes.
• The limiting distribution of extremal exchange rate returns

Cited in

(16)

• scientific article; zbMATH DE number 4028638 (Why is no real title available?)
• Tests for volatility shifts in GARCH against long-range dependence
• Fourier-type estimation of the power GARCH model with stable-Paretian innovations
• scientific article; zbMATH DE number 2070436 (Why is no real title available?)
• scientific article; zbMATH DE number 3996879 (Why is no real title available?)
• Exact multivariate tests of asset pricing models with stable asymmetric distributions
• scientific article; zbMATH DE number 672319 (Why is no real title available?)
• Testing for independence in heavy-tailed time series using the codifference function
• Stationarity of stable power-GARCH processes.
• Testing for persistence in stock returns with GARCH-stable shocks
• Accurate value-at-risk forecasting based on the normal-GARCH model
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Stable mixture GARCH models
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Estimating the codifference function of linear time series models with infinite variance
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions

Describes a project that uses

Uses Software

• STABLE
• SYMSTB

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