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A heavy-tailed distribution for ARCH residuals with application to volatility prediction

Politis, Dimitris N. - In: Annals of economics and finance 5 (2004) 2, pp. 283-298

Persistent link: https://www.econbiz.de/10002544919

A multivariate heavy-tailed distribution for arch/garch residuals

Politis, Dimitris N. - 2006

Persistent link: https://www.econbiz.de/10003331370

A subsampling approach to estimating the distribution of diverging statistics with applications to assessing financial market risks

Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - 2002

Persistent link: https://www.econbiz.de/10001720937

A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks

Bertail, Patrice (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001641513

Subsampling the distribution of diverging statistics with applications to finance

Bertail, Patrice; Häfke, Christian; Politis, Dimitris N.; … - In: Journal of econometrics 120 (2004) 2, pp. 295-326

Persistent link: https://www.econbiz.de/10002028637

On the behavior of nonparametric density and spectral density estimators at zero points of their support

Politis, Dimitris N. - 2012

Persistent link: https://www.econbiz.de/10010205484

Importance sampling from posterior distributions using copula-like approximations

Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57

Persistent link: https://www.econbiz.de/10012303370

Performance evaluation of mutual fund investments : the impact of non-normality and time-varying volatility

Vrontos, Ioannis D.; Meligkotsidou, Loukia; Vrontos, … - In: The journal of asset management 12 (2011) 4, pp. 292-307

Persistent link: https://www.econbiz.de/10009303901

A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals

Politis, Dimitris N. - In: Econometric analysis of financial and economic time series, (pp. 105-124). 2006

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical...

Persistent link: https://www.econbiz.de/10015385521