On the relation between GARCH and stable processes
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference24 articles.
1. The stable-law model of stock returns;Akgiray;Journal of Business and Economic Statistics,1988
2. The message in daily exchange rates: A conditional variance tale;Baillie;Journal of Business and Economic Statistics,1989
3. A comparison of the table and student distributions as statistical models for stock prices;Blattberg;Journal of Business,1974
4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
5. A conditionally heteroskedastic time series model for speculative prices and rates of return;Bollerslev;Review of Economics and Statistics,1987
Cited by 74 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation;Journal of Financial Markets;2023-03
2. Volatility and dynamic dependence modeling: Review, applications, and financial risk management;WIREs Computational Statistics;2021-06-22
3. Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models;Econometrics and Statistics;2020-07
4. An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks;International Journal of Financial Engineering;2016-03
5. On Modelling and Forecasting Predictable Components in European Stock Markets;Computational Economics;2015-08-15
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3