Stable GARCH models for financial time series
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Publication:1904510
DOI10.1016/0893-9659(95)00063-VzbMath0836.90037OpenAlexW2131182437MaRDI QIDQ1904510
Svetlozar T. Rachev, Stefan Mittnik, Anna K. Panorska
Publication date: 2 May 1996
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0893-9659(95)00063-v
stable distributionsfinancial economicsfat-tailed distributionsgeneralized autoregressive conditional heteroskedasticity
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
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Cites Work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Generalized autoregressive conditional heteroscedasticity
- Convergence in distribution of products of random matrices
- Modelling the persistence of conditional variances
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Modeling asset returns with alternative stable distributions*
