Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes

DOI10.1016/J.SPL.2009.04.017MaRDI QIDQ2270866zbMATH OpenOpenAlexFDO

Authors Markus Haas

Publication date 29 July 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.04.017

Mathematics Subject Classification ID

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

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Cites work

• A mathematical approach to detect the Taylor property in TARCH processes
• A note on regions for tests of kurtosis
• A Simple Proof of the Gauss-Winckler Inequality
• A stochastic variance model for absolute returns
• BL-GARCH models and asymmetries in volatility
• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Inequalities for absolute moments of a distribution: From Laplace to von Mises
• Modeling volatility persistence of speculative returns: a new approach
• Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• Properties of moments of a family of GARCH processes
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Stationarity and the existence of moments of a family of GARCH processes.
• Statistical physics and economic fluctuations: do outliers exist?
• Stylized facts of financial time series and hidden semi-Markov models
• The past and future of empirical finance: some personal comments

Cited in

(7)

• A mathematical approach to detect the Taylor property in TARCH processes
• Properties of moments of a family of GARCH processes
• Bayesian analysis of periodic asymmetric power GARCH models
• On the ability of the power threshold GARCH model to capture the Taylor effect
• Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
• A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
• The Taylor property in bilinear models

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