Kurtosis analysis in GARCH models with Gram-Charlier-like innovations

DOI10.1016/j.econlet.2019.108552zbMath1427.62123OpenAlexW2963349643MaRDI QIDQ2324690

Gianmarco Vacca, Maria Grazia Zoia

Publication date: 12 September 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108552

zbMATH Keywords

orthogonal polynomialskurtosisGARCH modelGram-Charlier-like expansions

Mathematics Subject Classification ID

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

Cites Work

• A method for simulating non-normal distributions
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Orthogonal polynomials for tailoring density functions to excess kurtosis, asymmetry, and dependence
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials

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