کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6869975 | 681132 | 2014 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
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چکیده انگلیسی
Financial returns exhibit conditional heteroscedasticity, asymmetric responses of their volatility to negative and positive returns (leverage effects) and fat tails. The α-stable distribution is a natural candidate for capturing the tail-thickness of the conditional distribution of financial returns, while the GARCH-type models are very popular in depicting the conditional heteroscedasticity and leverage effects. However, practical implementation of α-stable distribution in finance applications has been limited by its estimation difficulties. The performance of the indirect inference approach using GARCH models with Student's t distributed errors as auxiliary models is compared to the maximum likelihood approach for estimating GARCH-type models with symmetric α-stable innovations. It is shown that the expected efficiency gains of the maximum likelihood approach come at high computational costs compared to the indirect inference method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 158-171
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 158-171
نویسندگان
Giorgio Calzolari, Roxana Halbleib, Alessandro Parrini,