Fourier-type estimation of the power GARCH model with stable-Paretian innovations View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2016-05

AUTHORS

Christian Francq, Simos G. Meintanis

ABSTRACT

We consider estimation for general power GARCH models under stable-Paretian innovations. Exploiting the simple structure of the conditional characteristic function of the observations driven by these models we propose minimum distance estimation based on the empirical characteristic function of corresponding residuals. Consistency of the estimators is proved, and the asymptotic distribution of the estimator is studied. Efficiency issues are explored and finite-sample results are presented as well as applications of the proposed procedures to real data from the financial markets. A multivariate extension is also considered. More... »

PAGES

389-424

References to SciGraph publications

  • 2006-03. On Estimating the Cumulant Generating Function of Linear Processes in ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
  • 2012-09. Modeling fat tails in stock returns: a multivariate stable-GARCH approach in COMPUTATIONAL STATISTICS
  • 1995-06. GARCH-stable as a model of futures price movements in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2013-10. Multivariate elliptically contoured stable distributions: theory and estimation in COMPUTATIONAL STATISTICS
  • Journal

    TITLE

    Metrika

    ISSUE

    4

    VOLUME

    79

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s00184-015-0560-x

    DOI

    http://dx.doi.org/10.1007/s00184-015-0560-x

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1053027966


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