Stable GARCH models for financial time series
type: Item
instance of: scholarly article
title: Stable GARCH models for financial time series
zbMATH Open document ID: 0836.90037
DOI: 10.1016/0893-9659(95)00063-V
author: Svetlozar T. Rachev
author: Anna K. Panorska
author: Stefan Mittnik
published in: Applied Mathematics Letters
publication date: 1996-05-02T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 828421
zbMATH Keywords: fat-tailed distributions
zbMATH Keywords: stable distributions
zbMATH Keywords: generalized autoregressive conditional heteroskedasticity
zbMATH Keywords: financial economics
MaRDI profile type: Publication
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: Modelling the persistence of conditional variances
cites work: Modeling asset returns with alternative stable distributions*
cites work: Strict stationarity of generalized autoregressive processes
cites work: Stationarity of GARCH processes and of some nonnegative time series
cites work: Convergence in distribution of products of random matrices
full work available at URL: 0893-9659(95)00063-v
OpenAlex ID: W2131182437
description: scientific article; zbMATH DE number 828421