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Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Journal of econometrics 238 (2024) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10015073910

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

Testing and modelling time series with time varying tails

Palumbo, Dario - 2021

Persistent link: https://www.econbiz.de/10013254110

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

independently and identically distributed (i.i.d). It is therefore concluded that the generalized Pareto distribution (GPD) is a …

Persistent link: https://www.econbiz.de/10012604174

Estimating and simulating Weibull models of risk or price durations : an application to ACD models

Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: The North American journal of economics and finance : a … 25 (2013), pp. 214-225

Persistent link: https://www.econbiz.de/10009779281

QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation

Sin, Chor-yiu - In: Annals of financial economics 9 (2014) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10010489087

Modelling tail behavior of returns using the generalized extreme value distribution

Makhwiting, Monnye Rhoda; Sigauke, Caston; Lesaoana, Maseka - In: Economics, management and financial markets 9 (2014) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10011543664

Estimating and testing skewness in a stochastic volatility model

Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467

Persistent link: https://www.econbiz.de/10014476881

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115