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Normal log-normal mixture, leptokurtosis and skewness
Yang, Minxian - In: Applied economics letters 15 (2008) 7/9, pp. 737-742
Persistent link: https://www.econbiz.de/10003741693
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Measuring tail thickness under GARCH and an application to extreme exchange rate changes
Wagner, Niklas F.; Marsh, Terry Alan - In: Journal of empirical finance 12 (2005) 1, pp. 165-185
Persistent link: https://www.econbiz.de/10002644047
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Gram-Charlier densities
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 25 (2001) 10, pp. 1457-1483
Persistent link: https://www.econbiz.de/10001603779
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Tail estimation and conditional modeling of heteroscedastic time-series
Paolella, Marc S. - 1999 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001388258
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Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, Fabio; Mele, Antonio - In: Journal of empirical finance 8 (2001) 1, pp. 83-110
Persistent link: https://www.econbiz.de/10001568294
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Recovering the probability density function of asset prices using GARCH as diffusion approximations
Fornari, Fabio - 2001
Persistent link: https://www.econbiz.de/10013439253
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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Empirical likelihood methods for an AR(1) process with ARCH(1) errors
Klüppelberg, Claudia (contributor); Peng, Liang (contributor) - 2006
For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...
Persistent link: https://www.econbiz.de/10003310084
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An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975377