Stationarity of stable power-GARCH processes.

DOI10.1016/S0304-4076(01)00089-6zbMath1043.62074OpenAlexW1994480579WikidataQ59410568 ScholiaQ59410568MaRDI QIDQ1858909

Marc S. Paolella, Svetlozar T. Rachev, Stefan Mittnik

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00089-6

zbMATH Keywords

asymmetryheavy tailsstationaritystate space representationconditional heteroscedasticityfinancial modelingintegrated GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood ⋮ Principal component analysis for α-stable vectors ⋮ Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Truncated fractional moments of stable laws ⋮ Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations ⋮ On the probabilistic structure of power threshold generalized ARCH stochastic processes ⋮ Stationarity domains for \(\delta\)-power GARCH process with heavy tails ⋮ Estimating stable latent factor models by indirect inference ⋮ Stable mixture GARCH models ⋮ Indirect estimation of elliptical stable distributions ⋮ Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation ⋮ Accurate value-at-risk forecasting based on the normal-GARCH model ⋮ Bad environments, good environments: a non-Gaussian asymmetric volatility model ⋮ Testing the stable Paretian assumption

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