On the relation between GARCH and stable processes

From MaRDI portal
Publication:2277742

DOI10.1016/0304-4076(91)90066-MzbMath0725.62104OpenAlexW2127456401MaRDI QIDQ2277742

Casper G. de Vries

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90066-m




Related Items

Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihoodModeling asset returns with alternative stable distributions*Unnamed ItemBayesian International Evidence on Heavy Tails, Non-Stationarity and Asymmetry over the Business CycleInference procedures for stable-Paretian stochastic volatility modelsIndirect Estimation of α-Stable Distributions and ProcessesTesting for persistence in stock returns with GARCH-stable shocksOn the properties of the coefficient of determination in regression models with infinite variance variablesADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELSPrecise tabulation of the maximally-skewed stable distributions and densitiesNonparametric volatility density estimation for discrete time modelsThe method of simulated quantilesIndirect estimation of \(\alpha \)-stable stochastic volatility modelsEstimation of stable distributions by indirect inferenceInference for vast dimensional elliptical distributionsTesting for stability based on the empirical characteristic funstion with applications to financial dataIndirect estimation of randomized generalized autoregressive conditional heteroskedastic modelsSpectral tests of the martingale hypothesis under conditional heteroscedasticityOn estimation and testing goodness of fit for \(m\)-dependent stable sequencesMonte Carlo inference in econometric models with symmetric stable disturbancesStationarity of stable power-GARCH processes.Testing the stable Paretian assumption



Cites Work


This page was built for publication: On the relation between GARCH and stable processes