Fractionally integrated GARCH model with tempered stable distribution: a simulation study
From MaRDI portal
Publication:5138749
DOI10.1080/02664763.2016.1266310OpenAlexW2565716248MaRDI QIDQ5138749
No author found.
Publication date: 4 December 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2016.1266310
maximum likelihood estimationlong memorytempered stable distributionfat-tailed distributionFIGARCH model
Related Items (5)
Long memory and regime switching in the stochastic volatility modelling ⋮ A simulation study on the Markov regime-switching zero-drift GARCH model ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
Cites Work
- On simulation of tempered stable random variates
- Tempered stable distributions and processes
- Computing the probability density function of the stable Paretian distribution
- Tempered stable Lévy motion and transient super-diffusion
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Modeling long memory in stock market volatility
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Analytic Hessian matrices and the computation of FIGARCH estimates
- Generalized autoregressive conditional heteroscedasticity
- Modeling and pricing long memory in stock market volatility
- An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Cross-correlations between volume change and price change
- Fractional differencing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Financial Modelling with Jump Processes
- A FAST FRACTIONAL DIFFERENCE ALGORITHM
- Long memory and regime switching
This page was built for publication: Fractionally integrated GARCH model with tempered stable distribution: a simulation study
