Search Results - subject:"general error distribution"

The continuous-time limit of score-driven volatility models

Buccheri, Giuseppe; Corsi, Fulvio; Flandoli, Franco; … - In: Journal of econometrics 221 (2021) 2, pp. 655-675

Persistent link: https://www.econbiz.de/10012619254

EGARCH models with fat tails, skewness and leverage

Harvey, A.; Sucarrat, G. - Faculty of Economics, University of Cambridge - 2012

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional...

Persistent link: https://www.econbiz.de/10010699818

Exponential Conditional Volatility Models

Harvey, A. - Faculty of Economics, University of Cambridge - 2010

The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key...

Persistent link: https://www.econbiz.de/10008483950

Exponential conditional volatility models

Harvey, Andrew - Departamento de Estadistica, Universidad Carlos III de … - 2010

Persistent link: https://www.econbiz.de/10008672247

EGARCH models with fat tails, skewness and leverage

Harvey, Andrew; Sucarrat, Genaro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 320-338

Persistent link: https://www.econbiz.de/10010776998

Rates of convergence of extreme for general error distribution under power normalization

Chen, Shouquan; Wang, Chao; Zhang, Geng - In: Statistics & Probability Letters 82 (2012) 2, pp. 385-395

By using the theory of p-max stable laws, we study the rates of convergence of extremes for general error distribution …

Persistent link: https://www.econbiz.de/10010571821

OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL

PAN, MIN; TANG, SHENGQIAO - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 81-93

general error distribution stochastic volatility model, involving both the features of the stock return volatility and the … abnormal fluctuations of the stock price at the expiration date. We estimate the parameters in the general error distribution … model under general error distribution stochastic volatility model. The results show that the general error distribution …

Persistent link: https://www.econbiz.de/10008852560