A multivariate heavy-tailed distribution for ARCH/GARCH residuals

DOI10.1016/S0731-9053(05)20004-XzbMATH Open1190.62163OpenAlexW2505278438MaRDI QIDQ3571963FDOQ3571963

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

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Mathematics Subject Classification ID

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

Cited In (4)

• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Empirical performance of GARCH models with heavy-tailed innovations
• Monitoring distributional changes of squared residuals in GARCH models
• Title not available (Why is that?)

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