Alexander, Beck; Aaron, Kim Young Shin; Svetlozar, Rachev; … - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 2, pp. 167-177
In this paper, we examine the S&P 500 index log-returns on short intraday time scales with three different ARMA-GARCH models. In order to forecast market risk, we describe the innovation process with tempered stable distributions which we compare to commonly used methods in financial modeling....