The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns

DOI10.1007/S00362-014-0633-3zbMATH Open1416.62579OpenAlexW1502381559MaRDI QIDQ894875FDOQ894875

Luca Bagnato, Valerio Potì, Maria Grazia Zoia

Publication date: 24 November 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0633-3

zbMATH Keywords

kurtosisskewnessorthogonal polynomialsfinancial returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

Cites Work

• Title not available (Why is that?)
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• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Testing for the Constancy of Parameters Over Time
• Entropy and predictability of stock market returns.
• A Dependence Metric for Possibly Nonlinear Processes
• Autoregressive Conditional Density Estimation
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• GARCH-type Models with Generalized Secant Hyperbolic Innovations
• Generalized Tukey-type distributions with application to financial and teletraffic data
• On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
• Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
• Tailoring the Gaussian Law for Excess Kurtosis and Skewness by Hermite Polynomials
• The Econometric Modelling of Financial Time Series

Cited In (2)

• Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
• Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns

Uses Software

• R
• reldist

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