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ArticleOn the relation between GARCH and stable processes

Casper G. de Vries1991

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Articlegreen1991

On the relation between GARCH and stable processes

Casper G. de Vries

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

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

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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 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1986Modelling the persistence of conditional variances

Cited by

1992Nonresponse in panel data: The impact on estimates of a life cycle consumption function 1999Multifractal analysis of foreign exchange data 1990From Mandelbrot to Chaos in Economic Theory 2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity 1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data

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1995Maximum likelihood estimation of a GARCH‐stable modelarticle · 11 shared references 1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial dataarticle · 11 shared references 199611 Nonlinear time series, complexity theory, and financechapter · 11 shared references 2007Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange ratesarticle · 11 shared references 1998Unconditional and Conditional Distributional Models for the Nikkei Indexarticle · 11 shared references 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate marketsarticle · 10 shared references

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Year1991

Typearticle

Published1991-06-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations106

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0304-4076(91)90066-m

openalex_workW2127456401

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1996

11 Nonlinear time series, complexity theory, and finance

2002Stationarity of stable power-GARCH processes

1992Differences between foreign exchange rate regimes: The view from the tails