Volatility modeling with leverage effect under Laplace errors

DOI10.1515/JTSE-2016-0019zbMath1462.62641OpenAlexW2739086997MaRDI QIDQ1695695

Zhengjun Jiang, Weixuan Xia

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2016-0019

zbMATH Keywords

volatilityleverage effectLaplace distributionfinancial returnsGARCH-type models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Uses Software

• Mathematica
• FinTS

Cites Work

• Bayesian causal effects in quantiles: accounting for heteroscedasticity
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Analysis of Financial Time Series
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