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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

Testing and modelling time series with time varying tails

Palumbo, Dario - 2021

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

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

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

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Estimating the density tail index for financial time series

Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175

Persistent link: https://www.econbiz.de/10001222499

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

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