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Fat tails and asymmetry in financial volatility models

Verhoeven, Peter; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 351-361

GARCH model under various non-normal error distributions in order to evaluate skewness and leptokurtosis. The empirical … estimated under normality, in terms of: (i) capturing skewness and leptokurtosis; (ii) the maximized log-likelihood values; and …

Persistent link: https://www.econbiz.de/10010748637

The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics

Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2008

, asymmetric behavior and leptokurtosis. Efforts have been made worldwide to model the behaviour of the electricity's market price …

Persistent link: https://www.econbiz.de/10010750566

Empirical performance of the Czech and Hungarian index options under jump

Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001

This paper analyses Czech and Hungarian index options that are traded on the Austrian Futures and Options Exchange. We find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We estimate that approximately four-fifth of 4 percent...

Persistent link: https://www.econbiz.de/10010292775

Empirical Performance of the Czech and Hungarian Index Options under Jump

Lee, Gabriel S.; Boss, Michael; Klisz, Chris - Department of Economics and Finance Research and … - 2001

Persistent link: https://www.econbiz.de/10005764249

The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics.

Diongue, Abdou Kâ; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

, asymmetric behavior and leptokurtosis. Efforts have been made worldwide to model the behaviour of the electricity's market price …

Persistent link: https://www.econbiz.de/10005797746

Generalized Tukey-type distributions with application to financial and teletraffic data

Fischer, Matthias - In: Statistical Papers 51 (2010) 1, pp. 41-56

Persistent link: https://www.econbiz.de/10008467056

Implicit Bayesian Inference Using Option Prices

Martin, Gael M.; Forbes, Catherine S.; Martin, Vance L. - Department of Econometrics and Business Statistics, … - 2003

is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness … index for 1995. Whilst the results provide support for models which accommodate leptokurtosis, no one model dominates …

Persistent link: https://www.econbiz.de/10005427614

Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms

Flynn, David B.; Grose, Simone D.; Martin, Gael M.; … - Department of Econometrics and Business Statistics, … - 2003

volatility smiles. The empirical results provide strong evidence that time-varying volatility, leptokurtosis and skewness are …

Persistent link: https://www.econbiz.de/10005149038

Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets

Daal, Elton; Naka, Atsuyuki; Yu, Jung-Suk - Department of Economics and Finance, College of … - 2006

This paper proposes asymmetric GARCH-Jump models that synthesize autoregressive jump intensities and volatility feedback in the jump component. Our results indicate that these models provide a better fit for the dynamics of the equity returns in the US and emerging Asian markets, irrespective...

Persistent link: https://www.econbiz.de/10005035528

Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence

Gong, Xiao-Li; Xiong, Xiong - In: Finance research letters 38 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012490240