Kurtosis of GARCH and stochastic volatility models with non-normal innovations
From MaRDI portal
Publication:1810673
DOI10.1016/S0304-4076(03)00088-5zbMath1012.62109MaRDI QIDQ1810673
Jeffrey R. Russell, George C. Tiao, Xuezheng Bai
Publication date: 9 June 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
A multivariate volatility vine copula model ⋮ Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Linking Tukey's legacy to financial risk measurement ⋮ Portfolio management with higher moments: the cardinality impact ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Power monotonicity in detecting volatility levels change ⋮ The Volatility of Realized Volatility ⋮ A long memory model with normal mixture GARCH ⋮ Temporal aggregation of equity return time-series models ⋮ A robust statistical approach to select adequate error distributions for financial returns ⋮ Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models ⋮ Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets ⋮ GARCH option pricing: A semiparametric approach ⋮ Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm ⋮ Stable mixture GARCH models ⋮ A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation ⋮ A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series ⋮ Non‐trading day effects in asymmetric conditional and stochastic volatility models ⋮ Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels ⋮ A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models ⋮ Bayesian estimation of the Gaussian mixture GARCH model ⋮ Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao ⋮ Dynamic conditional angular correlation ⋮ Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models ⋮ Bayesian analysis of stochastic volatility models with mixture-of-normal distributions ⋮ Asymmetric Multivariate Stochastic Volatility ⋮ Kurtosis analysis in GARCH models with Gram-Charlier-like innovations ⋮ Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ The \(L^2\)-structures of standard and switching-regime GARCH models ⋮ Random coefficient GARCH models ⋮ Random coefficient mixture (RCM) GARCH models
Cites Work
- Properties of moments of a family of GARCH processes
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
- FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
