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  1. Regular variation of popular GARCH processes allowing for distributional asymmetry
    Author: Prono, Todd
    Published: August 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a... more

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    Verlag (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 412 (2017,095)
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    No inter-library loan

     

    Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns assumed to follow GARCH-type processes. The result in this note aids in establishing the asymptotic properties of certain GARCH estimators proposed in the literature

     
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    Volltext (kostenfrei)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: First version: August 2017
    Series: Finance and economics discussion series ; 2017, 095
    FEDS Working Paper ; No. 2017-095
    Subjects: GARCH; Pareto tails; Heavy tail; Regular variation; Threshold GARCH
    Scope: 1 Online-Ressource (circa 11 Seiten)