IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v99y2000i2p349-372.html
   My bibliography  Save this article

On estimation and testing goodness of fit for m-dependent stable sequences

Author

Listed:
  • Deo, Rohit S.

Abstract

No abstract is available for this item.

Suggested Citation

  • Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December.
    • Handle: RePEc:eee:econom:v:99:y:2000:i:2:p:349-372
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(00)00039-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. de Vries, Casper G., 1991. "On the relation between GARCH and stable processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 313-324, June.
    2. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    4. Akgiray, Vedat & Lamoureux, Christopher G, 1989. "Estimation of Stable-Law Parameters: A Comparative Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 85-93, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:ebl:ecbull:v:3:y:2008:i:38:p:1-10 is not listed on IDEAS
    2. Steve Cook, 2008. "Non-linear unit root testing in the presence of heavy-tailed innovation processes," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-10.
    3. Deo, Rohit S., 2002. "On testing the adequacy of stable processes under conditional heteroscedasticity," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 257-270, March.
    4. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
    2. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    3. Deo, Rohit S., 2002. "On testing the adequacy of stable processes under conditional heteroscedasticity," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 257-270, March.
    4. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    5. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
    6. Kurz-Kim, Jeong-Ryeol & Loretan, Mico, 2014. "On the properties of the coefficient of determination in regression models with infinite variance variables," Journal of Econometrics, Elsevier, vol. 181(1), pages 15-24.
    7. Prasad Bidarkota & J Huston Mcculloch, 2004. "Testing for persistence in stock returns with GARCH-stable shocks," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 256-265.
    8. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    9. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
    10. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
    11. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
    12. Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
    13. Ghose, Devajyoti & Kroner, Kenneth F., 1995. "The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 225-251, September.
    14. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    15. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    16. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
    17. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
    18. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    19. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
    20. Paul Ormerod, 2010. "La crisis actual y la culpabilidad de la teoría macroeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 12(22), pages 111-128, January-J.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:99:y:2000:i:2:p:349-372. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.