Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distri\-bu\-tions
DOI10.1007/S11071-007-9206-5zbMATH Open1177.62124OpenAlexW2134029464MaRDI QIDQ840372FDOQ840372
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
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- 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
- A generalization of the beta distribution with applications
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Title not available (Why is that?)
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Modeling asset returns with alternative stable 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?
- Maximum likelihood estimation of stable Paretian models.
- Testing the stable Paretian assumption
- Threshold heteroskedastic models
- Stable GARCH models for financial time series
- Stock returns and hyperbolic distributions
- 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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