Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
DOI10.1007/S00362-007-0080-5zbMATH Open1312.91094OpenAlexW1982487535WikidataQ126211625 ScholiaQ126211625MaRDI QIDQ840975FDOQ840975
Authors: José Dias Curto, José Castro Pinto, G. Tavares 
Publication date: 14 September 2009
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0080-5
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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Cited In (19)
- Recursive computation of piecewise constant volatilities
- GARCH-type Models with Generalized Secant Hyperbolic Innovations
- Estimating the Population Coefficient of Variation by Confidence Intervals
- 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
- Title not available (Why is that?)
- Stable GARCH models for financial time series
- Estimation under copula-based Markov normal mixture models for serially correlated data
- 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
- 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 \(\alpha\)-stable distribu\-tions
- Asymptotic normality of the MLE in the level-effect ARCH model
- 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
- Title not available (Why is that?)
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