Mittnik, Stefan; Paolella, Marc; Rachev, Svetlozar - In: Asia-Pacific Financial Markets 5 (1998) 2, pp. 99-128
We investigate alternative unconditional and conditional distributional models for the returns on Japan's Nikkei 225 stock market index. Among them is the recently introduced class of ARMA-GARCH models driven by α-stable (or stable Paretian) distributed innovations, designed to capture the...