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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

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

Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru

Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10011924649

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

A novel jump diffusion model based on SGT distribution and its applications

Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92

Persistent link: https://www.econbiz.de/10011647763

Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

Specification analysis in regime-switching continuous-time diffusion models for market volatility

Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011650223

Bayesian estimation of stochastic tail index from high-frequency financial data

Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711

Persistent link: https://www.econbiz.de/10012664628

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483