An empirical evaluation of fat-tailed distributions in modeling financial time series
DOI10.1016/J.MATCOM.2007.02.008zbMATH Open1148.62316OpenAlexW2086335099MaRDI QIDQ2479445FDOQ2479445
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
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
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- On Bayesian Modeling of Fat Tails and Skewness
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH modeling in finance. A review of the theory and empirical evidence
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Bayesian analysis of a three-component hierarchical design model
- Bayesian inference on GARCH models using the Gibbs sampler
- A multivariate generalization of the power exponential family of distributions
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- A multivariate generalized Laplace distributions design
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- On sampling the degree-of-freedom of Student's-\(t\) disturbances
Cited In (11)
- Tail variance of portfolio under generalized Laplace distribution
- On Bayesian sample size determination
- Modelling stochastic volatility using generalized \(t\) distribution
- Appraisal of excess Kurtosis through outlier-modified GARCH-type models
- MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH
- VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
- A generalized error distribution copula-based method for portfolios risk assessment
- Superstatistics with cut-off tails for financial time series
- A test of financial time-series data to discriminate among lognormal, Gaussian and square-root random walks
- A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
- A trend-based segmentation method and the support vector regression for financial time series forecasting
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