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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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Stable-GARCH models for financial returns : fast estimation and tests for stability
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...
Persistent link: https://www.econbiz.de/10011506322
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
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The prediction of down-side market risk with GARCH-stable models
Mittnik, Stefan; Paolella, Marc S.; Račev, Svetlozar T. - 1998
Persistent link: https://www.econbiz.de/10001410540
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Persistent link: https://www.econbiz.de/10001707592
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 211-250
Persistent link: https://www.econbiz.de/10002214262