Temporal aggregation of equity return time-series models

DOI10.1016/J.MATCOM.2008.01.010MaRDI QIDQ929677zbMATH OpenOpenAlexFDO

Authors Ka Ho Wu, Wai Sum Chan, Siu Hung Cheung, Lixin Zhang

Publication date 18 June 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.01.010

zbMATH Keywords

GARCH modelcalibration pointsequity-linked guaranteeslog-stable distributionS\&P 500 total returns

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

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• Implications of seeing economic variables through an aggregation window
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Moments of Markov switching models
• Parameterizations and modes of stable distributions
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• Temporal aggregation of volatility models
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Cited in

(4)

• Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model long vs. short memory
• Temporal aggregation of Markov-switching financial return models
• Temporal aggregation of volatility models
• Validation of long-term equity return models for equity-linked guarantees

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