Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distri\-bu\-tions

DOI10.1007/S11071-007-9206-5MaRDI QIDQ840372zbMATH OpenOpenAlexFDO

Authors António Bruno Tavares, José Dias Curto, G. Tavares

Publication date 11 September 2009

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11071-007-9206-5

zbMATH Keywords

leverage effectEGARCHnon-Gaussian distributionsTGARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A generalization of the beta distribution with applications
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Maximum likelihood estimation of stable Paretian models.
• Modeling asset returns with alternative stable distributions^*
• On Bayesian Modeling of Fat Tails and Skewness
• Stable GARCH models for financial time series
• Stock returns and hyperbolic distributions
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing the stable Paretian assumption
• Threshold heteroskedastic models
• Unconditional and conditional distributional models for the Nikkei index

Cited in

(6)

• Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation
• Portfolio management with higher moments: the cardinality impact
• Empirical performance of GARCH models with heavy-tailed innovations
• Fat tails and asymmetry in financial volatility models.
• Modeling and forecasting of stock index volatility with APARCH models under ordered restriction
• Unconditional and conditional distributional models for the Nikkei index

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