A multivariate heavy-tailed distribution for ARCH/GARCH residuals

DOI10.1016/S0731-9053(05)20004-XMaRDI QIDQ3571963zbMATH OpenOpenAlexFDO

Authors Dimitris Politis

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(05)20004-x

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Monitoring distributional changes of squared residuals in GARCH models
• Empirical performance of GARCH models with heavy-tailed innovations
• scientific article; zbMATH DE number 2152222 (Why is no real title available?)
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions

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