Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Alessandro Parrini"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7aa9c87a974d4ae0f9dab968fa94b0d
https://doi.org/10.2139/ssrn.3896788
https://doi.org/10.2139/ssrn.3896788
Publikováno v:
Computational Statistics & Data Analysis. 76:158-171
Financial returns exhibit conditional heteroscedasticity, asymmetric responses of their volatility to negative and positive returns (leverage effects) and fat tails. The αα-stable distribution is a natural candidate for capturing the tail-thickness
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f50ba690a9ee9e452b8c5134731ad106
https://doi.org/10.1016/j.csda.2013.07.028
https://doi.org/10.1016/j.csda.2013.07.028
It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::e295389befc825fc347ac00175681cd8
http://www.uni-konstanz.de/FuF/wiwi/workingpaperseries/WP_Calzolari-Halbleib-Parrini_31-12.pdf
http://www.uni-konstanz.de/FuF/wiwi/workingpaperseries/WP_Calzolari-Halbleib-Parrini_31-12.pdf
