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Keywords = asymmetric stable Paretian

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28 pages, 730 KB  
Article
Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability
by Marc S. Paolella
Econometrics 2016, 4(2), 25; https://doi.org/10.3390/econometrics4020025 - 5 May 2016
Cited by 20 | Viewed by 10861
Abstract
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 < α < 2 are used for assessing the appropriateness of the stable [...] Read more.
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 < α < 2 are used for assessing the appropriateness of the stable assumption as the innovations process in stable-GARCH-type models for daily stock returns. Overall, there is strong evidence against the stable as the correct innovations assumption for all stocks and time periods, though for many stocks and windows of data, the stable hypothesis is not rejected. Full article
(This article belongs to the Special Issue Recent Developments of Financial Econometrics)
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