SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Stationarity of stable power-GARCH processes · Study

ArticleShelves

ArticleStationarity of stable power-GARCH processes

Stefan Mittnik2002

Article2002

Stationarity of stable power-GARCH processes

Stefan Mittnik · Marc S. Paolella · Svetlozar T. Rachev

83 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 83 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1993A long memory property of stock market returns and a new model 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986Modelling the persistence of conditional variances

Cited by

2006An Econometric Analysis of Emission Trading Allowances 2014Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey 2003Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions 2012Stable mixture GARCH models 2008A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns 2021GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy 2001Testing the stable Paretian assumption

Details

Year2002

Typearticle

Published2002-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations83

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0304-4076(01)00089-6

openalex_workW1994480579

Links

Imported from OpenAlex (CC0) — nothing here is generated.