Concepedia

An empirical evaluation of fat-tailed distributions in modeling financial time series

Mike K. P. So, Cathy W. S. Chen, Jen‐Yu Lee, Yi‐Ping Chang

Mathematics and Computers in Simulation · 2007 · 20 citations · 33 references

Concepts

BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsTime Series AnalysisFinancial ForecastingFinancial Time Series AnalysisTemporal Dependence ModelingTime Series EconometricsTime Series ForecastingVolatility ModelingEmpirical EvaluationFat-tailed Return DistributionsFinancial Time Series ForecastingHeavy-tailed DistributionsTail Dependence AnalysisTime Series Volatility ModelingTime-varying Volatility Models

References

33

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Peter J. Green · Biometrika · 1995 · 5.9K citations

Computing, Biostatistics, Computer Science +17