Showing 51 - 60 of 355
Persistent link: https://www.econbiz.de/10003907527
It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...
Persistent link: https://www.econbiz.de/10003980003
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10009313940
The use of GARCH models is widely used as an effective method for capturing the volatility clustering inherent in financial returns series. The residuals from such models are however often non-Gaussian, and two methods suggest themselves for dealing with this; outlier removal, or use of...
Persistent link: https://www.econbiz.de/10009375155
A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry),...
Persistent link: https://www.econbiz.de/10010256409
The class of mixed normal conditional heteroskedastic (MixN-GARCH) models, which couples a mixed normal distributional structure with GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as excellent out-of-sample forecasting...
Persistent link: https://www.econbiz.de/10009721353
Persistent link: https://www.econbiz.de/10009706160
Persistent link: https://www.econbiz.de/10009706200
Persistent link: https://www.econbiz.de/10009706211
Persistent link: https://www.econbiz.de/10010370491