Returns of Eastern European financial markets: ARMA, GARCH modeling -stable distribu\-tions

zbMATH Open1137.62072MaRDI QIDQ5453606FDOQ5453606

Authors: Anna Serbinenko, Jean-François Emmenegger 

Publication date: 3 April 2008

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zbMATH Keywords

ARMAGARCH\(\alpha\)-stable distributionSTARR and R-ratio risk measures

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) 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)

Cited In (3)

• Dynamic efficiency in the east European emerging markets
• Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
• Alpha-stable paradigm in financial markets

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