Search Results - subject:"α‐stable distribution"

Portfolio diversification and sustainable assets from new perspectives

Kanamura, Takashi - In: The journal of asset management : a major new, … 24 (2023) 7, pp. 581-600

Persistent link: https://www.econbiz.de/10014447461

Maximum likelihood estimation for the asymmetric exponential power distribution

Teimouri, Mahdi; Nadarajah, Saralees - In: Computational economics 60 (2022) 2, pp. 665-692

Persistent link: https://www.econbiz.de/10013380803

Diversification effect of commodity futures on financial markets

Kanamura, Takashi - 2018

Persistent link: https://www.econbiz.de/10012133435

Diversification effect of commodity futures on financial markets

Kanamura, Takashi - In: Quantitative finance and economics 2 (2018) 4, pp. 821-836

Persistent link: https://www.econbiz.de/10012176104

Estimating Stable Factor Models By Indirect Inference

Calzolari, Giorgio; Halbleib, Roxana - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014

Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under...

Persistent link: https://www.econbiz.de/10011150337

Indirect Estimation of α-Stable Garch Models

Calzolari, Giorgio; Halbleib, Roxana; Parrini, Alessandro - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2012

-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 … implementation of α-stable distribution in finance applications has been limited by its estimation difficulties. In this paper, we …

Persistent link: https://www.econbiz.de/10011070871

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866

Persistent link: https://www.econbiz.de/10011860776

A note on the QMLE limit theory in the non-stationary ARCH(1) model

Arvanitis, Stelios; Louka, Alexandros - In: Journal of time series econometrics 8 (2016) 1, pp. 21-39

Persistent link: https://www.econbiz.de/10011440450

Stochastic modelling of financial time series with memory and multifractal scaling

Snguanyat, Ongorn - 2009

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

Persistent link: https://www.econbiz.de/10009437906

Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood

Calzolari, Giorgio; Halbleib, Roxana; Parrini, Alessandro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 158-171

positive returns (leverage effects) and fat tails. The α-stable distribution is a natural candidate for capturing the tail … conditional heteroscedasticity and leverage effects. However, practical implementation of α-stable distribution in finance …

Persistent link: https://www.econbiz.de/10011056533