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The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data

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  • Ghose, Devajyoti
  • Kroner, Kenneth F.
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    File URL: http://www.sciencedirect.com/science/article/B6VFG-3YCDPFH-3/2/a82f43629c922c12b8e0515e82ab1330
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 2 (1995)
    Issue (Month): 3 (September)
    Pages: 225-251

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    Handle: RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251

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    Web page: http://www.elsevier.com/locate/jempfin

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    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. Upton, David E & Shannon, Donald S, 1979. "The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormality: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 34(4), pages 1031-39, September.
    3. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July.
    4. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    5. Kroner, Kenneth F. & Claessens, Stijn, 1991. "Optimal dynamic hedging portfolios and the currency composition of external debt," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 131-148, March.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    7. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    8. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    9. Friedman, Daniel & Vandersteel, Stoddard, 1982. "Short-run fluctuations in foreign exchange rates : Evidence from the data 1973-1979," Journal of International Economics, Elsevier, vol. 13(1-2), pages 171-186, August.
    10. Dennis Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
    11. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    12. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
    13. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
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