کد مقاله کد نشریه سال انتشار مقاله انگلیسی ترجمه فارسی نسخه تمام متن
5083390 1477802 2015 27 صفحه PDF سفارش دهید دانلود رایگان
عنوان انگلیسی مقاله ISI
ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails
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موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
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ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails
چکیده انگلیسی
It is well-known in empirical finance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often significantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can differ markedly across assets. To accommodate these stylized facts when modeling the joint distribution of asset returns, an asymmetric extension of the meta-elliptical t distribution is proposed. While the likelihood is tractable, for high dimensions it will be impractical to use for estimation. To address this, a fast, two-step estimation procedure is developed, based on a saddlepoint approximation to the noncentral Student's t distribution. The model is extended to support a CCC-(I)GARCH structure and demonstrated by modeling and forecasting the return series comprising the DJIA. The techniques of shrinkage, time-varying tail dependence, and weighted likelihood are employed to further enhance the forecasting performance of the model with no added computational burden.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 40, November 2015, Pages 282-297
نویسندگان
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