Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
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Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
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Cites work
- scientific article; zbMATH DE number 3720226 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- A Test for Normality of Observations and Regression Residuals
- A further look at robustness via Bayes's theorem
- 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
- Estimating the dimension of a model
- Generalized autoregressive conditional heteroscedasticity
- Information criteria for selecting possibly misspecified parametric models
- Maximum likelihood estimation of stable Paretian models.
- Modeling asset returns with alternative stable distributions*
- Modelling the persistence of conditional variances
- On a measure of lack of fit in time series models
- Regression and time series model selection in small samples
- Stable GARCH models for financial time series
- Stable Paretian models in finance
- Unconditional and conditional distributional models for the Nikkei index
Cited in
(26)- Stable Paretian versus student's \(t\) stock market hypothesis
- Recursive computation of piecewise constant volatilities
- GARCH-type Models with Generalized Secant Hyperbolic Innovations
- Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance
- Specification tests for the error distribution in GARCH models
- Methods for estimating the upcrossings index: improvements and comparison
- A Bayesian inference for time series via copula-based Markov chain models
- scientific article; zbMATH DE number 1799347 (Why is no real title available?)
- Empirical performance of GARCH models with heavy-tailed innovations
- Stable GARCH models for financial time series
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach
- Estimation under copula-based Markov normal mixture models for serially correlated data
- Modeling and forecasting of stock index volatility with APARCH models under ordered restriction
- Unconditional and conditional distributional models for the Nikkei index
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- A characteristic function-based approach to approximate maximum likelihood estimation
- The volatility and density prediction performance of alternative GARCH models
- Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
- Markov switching asymmetric GARCH model: stability and forecasting
- Returns of Eastern European financial markets: ARMA, GARCH modeling -stable distribu\-tions
- Asymptotic normality of the MLE in the level-effect ARCH model
- Use of tempered stable distributions in GARCH(1,1) models
- Estimating the population coefficient of variation by confidence intervals
- Discretely observed Brownian motion governed by telegraph signal process: estimation and application to finance
- Impact study of volatility modelling of Bangladesh stock index using non-normal density
- scientific article; zbMATH DE number 7660125 (Why is no real title available?)
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