A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical maximum likelihood is also given, and a real data example is worked out.

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Year of publication:	2006
Authors:	Politis, Dimitris N.
Published in:	Econometric analysis of financial and economic time series. - Bingley, U.K : Emerald, ISBN 978-1-84950-389-1. - 2006, p. 105-124
Subject:	Statistische Verteilung \| Statistical distribution \| Theorie \| Theory \| Multivariate Analyse \| Multivariate analysis

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Type of publication:	Article
Language:	English
Other identifiers:	10.1016/S0731-9053(05)20004-X [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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