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http://hdl.handle.net/10071/5541
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Campo DC | Valor | Idioma |
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dc.contributor.author | Curto, J. | - |
dc.contributor.author | Pinto, J. C. | - |
dc.contributor.author | Tavares, G. N. | - |
dc.date.accessioned | 2013-09-06T14:49:50Z | - |
dc.date.available | 2013-09-06T14:49:50Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Curto, J., Pinto, J. C., & Tavares, G. N. (2009). Modeling stock markets' volatility using GARCH models with normal, student's t and stable paretian distributions. Statistical Papers. 50 (2), 311-321. https://dx.doi.org/10.1007/s00362-007-0080-5 | - |
dc.identifier.issn | 0932-5026 | - |
dc.identifier.uri | http://hdl.handle.net/10071/5541 | - |
dc.description.abstract | As GARCH models and stable Paretian distributions have been revisited in the recent past with the papers of Hansen and Lunde (J Appl Econom 20: 873–889, 2005) and Bidarkota and McCulloch (Quant Finance 4: 256–265, 2004), respectively, in this paper we discuss alternative conditional distributional models for the daily returns of the US, German and Portuguese main stock market indexes, considering ARMA-GARCH models driven by Normal, Student’s t and stable Paretian distributed innovations. We find that a GARCH model with stable Paretian innovations fits returns clearly better than the more popular Normal distribution and slightly better than the Student’s t distribution. However, the Student’s t outperforms the Normal and stable Paretian distributions when the out-of-sample density forecasts are considered. | eng |
dc.language.iso | eng | - |
dc.publisher | Springer | - |
dc.rights | openAccess | por |
dc.subject | Non-Gaussian distributions | eng |
dc.subject | Conditional heteroskedasticity | eng |
dc.title | Modeling stock markets' volatility using GARCH models with normal, student's t and stable paretian distributions | eng |
dc.type | article | - |
dc.pagination | 311 - 321 | - |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | yes | - |
dc.journal | Statistical Papers | - |
dc.distribution | Internacional | por |
dc.volume | 50 | - |
dc.number | 2 | - |
degois.publication.firstPage | 311 | - |
degois.publication.lastPage | 321 | - |
degois.publication.issue | 2 | - |
degois.publication.title | Modeling stock markets' volatility using GARCH models with normal, student's t and stable paretian distributions | eng |
dc.date.updated | 2019-03-26T16:30:47Z | - |
dc.description.version | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.doi | 10.1007/s00362-007-0080-5 | - |
dc.subject.fos | Domínio/Área Científica::Ciências Naturais::Matemáticas | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-10191 | - |
iscte.alternateIdentifiers.wos | WOS:000262577000006 | - |
iscte.alternateIdentifiers.scopus | 2-s2.0-58549098260 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
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article_10191.pdf | Pós-print | 272,29 kB | Adobe PDF | Ver/Abrir |
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