Fat tails and asymmetry in financial volatility models.

DOI10.1016/S0378-4754(03)00101-0zbMath1062.91040MaRDI QIDQ1427747

Peter Verhoeven, Michael McAleer

Publication date: 14 March 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

OutliersSkewnessLocation parameterConditional non-normalityLeptokurtosis

Mathematics Subject Classification ID

Related Items (8)

An econometric analysis of asymmetric volatility: theory and application to patents ⋮ A method of calculating the downside risk by multivariate nonnormal distributions ⋮ Tail behavior and dependence structure in the APARCH model ⋮ Gram-Charlier densities: maximum likelihood versus the method of moments ⋮ The Volatility of Realized Volatility ⋮ BL-GARCH models with elliptical distributed innovations ⋮ Outlier detection under star-contoured errors ⋮ A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution

Cites Work

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• Financial Data and the Skewed Generalized T Distribution
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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