Indirect Estimation of α-Stable Garch Models

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CALZOLARI, Giorgio, Roxana HALBLEIB, Alessandro PARRINI, 2012. Indirect Estimation of α-Stable Garch Models

@techreport{Calzolari2012Indir-29673, series={Working Paper Series / Department of Economics}, title={Indirect Estimation of α-Stable Garch Models}, year={2012}, number={2012‐31}, author={Calzolari, Giorgio and Halbleib, Roxana and Parrini, Alessandro} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/29673"> <dc:creator>Parrini, Alessandro</dc:creator> <dcterms:abstract xml:lang="eng">It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for the conditional distribution of financial returns. The α-stable distribution is a generalization of the normal distribution and is described by four parameters, two of which deal with tail-thickness and asymmetry. However, practical implementation of α-stable distribution in finance applications has been limited by its estimation difficulties. In this paper, we propose an indirect approach of estimating GARCH models with α-stable innovations by using as auxiliary models GARCH-type models with Student's t distributed innovations. We provide comprehensive empirical evidence on the performance of the method within a series of Monte Carlo simulation studies and an empirical application to financial returns.</dcterms:abstract> <dc:contributor>Halbleib, Roxana</dc:contributor> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-01-30T09:45:04Z</dcterms:available> <dc:contributor>Parrini, Alessandro</dc:contributor> <dc:creator>Calzolari, Giorgio</dc:creator> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103605204-4002607-1"/> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2015-01-30T09:45:04Z</dc:date> <dc:language>eng</dc:language> <dc:contributor>Calzolari, Giorgio</dc:contributor> <dcterms:issued>2012</dcterms:issued> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/29673"/> <dc:creator>Halbleib, Roxana</dc:creator> <dcterms:title>Indirect Estimation of α-Stable Garch Models</dcterms:title> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 30.01.2015 (Informationen über die Zugriffsstatistik)

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