An empirical evaluation of fat-tailed distributions in modeling financial time series

DOI10.1016/J.MATCOM.2007.02.008zbMATHOpenAlexMaRDI QIDQ2479445FDO

Authors Mike K. P. So, Cathy W. S. Chen, Jen-Yu Lee, Yi-Ping Chang

Publication date 26 March 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2007.02.008

zbMATH Keywords

BayesianGARCH modelsreversible-jumpgeneralized error distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Fat tails and asymmetry in financial volatility models.
• Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution
• Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• Stable Paretian versus student's \(t\) stock market hypothesis

Cites work

• A multivariate generalization of the power exponential family of distributions
• A multivariate generalized Laplace distributions design
• ARCH modeling in finance. A review of the theory and empirical evidence
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Asymptotic theory for a vector ARMA-GARCH model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Bayesian analysis of a three-component hierarchical design model
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Bayesian inference on GARCH models using the Gibbs sampler
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• On Bayesian Modeling of Fat Tails and Skewness
• On sampling the degree-of-freedom of Student's-\(t\) disturbances
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

Cited in

(12)

• VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
• Tail variance of portfolio under generalized Laplace distribution
• Dynamic risk measurement of financial time series with heavy-tailed: a new hybrid approach
• A generalized error distribution copula-based method for portfolios risk assessment
• Superstatistics with cut-off tails for financial time series
• Modelling stochastic volatility using generalized \(t\) distribution
• On Bayesian sample size determination
• A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
• A trend-based segmentation method and the support vector regression for financial time series forecasting
• MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH

This page was built for publication: An empirical evaluation of fat-tailed distributions in modeling financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2479445)