Testing for persistence in stock returns with GARCH-stable shocks

DOI10.1088/1469-7688/4/3/002zbMath1409.62208OpenAlexW3124195886MaRDI QIDQ4610232

Prasad V. Bidarkota, J. Huston McCulloch

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/002

zbMATH Keywords

GARCHpersistence in stock returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

A characteristic function-based approach to approximate maximum likelihood estimation ⋮ Asset pricing with incomplete information and fat tails

Uses Software

• SYMSTB

Cites Work

• Unnamed Item
• Autoregressive conditional heteroskedasticity and changes in regime
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Statistical methods in finance
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Fractional ARIMA with stable innovations
• On the relation between GARCH and stable processes
• Recursive Bayesian estimation using Gaussian sums
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Long-Term Memory in Stock Market Prices
• A COMPUTATIONAL METHOD FOR ESTIMATING DENSITIES OF NON-GAUSSIAN NONSTATIONARY UNIVARIATE TIME SERIES
• Bayesian Inference for Stable Distributions
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

This page was built for publication: Testing for persistence in stock returns with GARCH-stable shocks