Paolella, Marc S. - In: Econometrics : open access journal 4 (2016) 2, pp. 1-28
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 α 2 are used for assessing the appropriateness of the stable assumption as the...