This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics George A. Christodoulakis () (Bank of Greece and Manchester Business School)
Stephen E Satchell (Trinity College, University of Cambridge and Bank of Greece)
Additional information is available for the following
registered author(s):
Assuming the time series of random returns to be jointly elliptical, we derive a relationship between its conditional variance and the probability density function of the conditioning set. In the case that such a relationship is linear in a quadratic form for of the conditioning variables, we show that the probability density function of the conditioning variables is multivariate t. This result is then applied to models of conditionally random volatility and used to derive exact results for the GARCH(p,q) class of processes previously thought to be intractable.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Bank of Greece in its series Working Papers with number
32.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 21 pages
Date of creation: Jan 2006Date of revision:
Handle: RePEc:bog:wpaper:32Contact details of provider: Web page: http://www.bankofgreece.gr More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Pavlos Petroulas).
Keywords: Elliptical Distributions Financial Asset Returns Conditional Volatility GARCH Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Keith Vorkink, 2003.
"Return Distributions and Improved Tests of Asset Pricing Models ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 16(3), pages 845-874, July.
[Downloadable!] (restricted)
Bougerol, Philippe & Picard, Nico, 1992.
"Stationarity of Garch processes and of some nonnegative time series ,"
Journal of Econometrics ,
Elsevier, vol. 52(1-2), pages 115-127.
[Downloadable!] (restricted)
Foster, F Douglas & Viswanathan, S, 1993.
"The Effect of Public Information and Competition on Trading Volume and Price Volatility ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 6(1), pages 23-56.
[Downloadable!] (restricted)
Kyle, Albert S, 1985.
"Continuous Auctions and Insider Trading ,"
Econometrica ,
Econometric Society, vol. 53(6), pages 1315-35, November.
[Downloadable!] (restricted)
Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002.
"Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
[Downloadable!]
Other versions:
Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach ,"
FMG Discussion Papers
dp382, Financial Markets Group.
[Downloadable!] (restricted) Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000.
"Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach ,"
STICERD - Econometrics Paper Series
/2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!] Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach ,"
Cahiers de recherche CREFE / CREFE Working Papers
143, CREFE, Université du Québec à Montréal.
[Downloadable!] Drost, Feike C & Nijman, Theo E, 1993.
"Temporal Aggregation of GARCH Processes ,"
Econometrica ,
Econometric Society, vol. 61(4), pages 909-27, July.
[Downloadable!] (restricted)
Other versions:
Drost, F.C. & Nijman, T.E., 1992.
"Temporal Aggregation of Garch Processes ,"
Papers
9240, Tilburg - Center for Economic Research.
Drost, F.C. & Nijman, T.E., 1990.
"Temporal Aggregation Of Garch Processes ,"
Papers
9066, Tilburg - Center for Economic Research.
Easley, David & O'Hara, Maureen, 1992.
" Time and the Process of Security Price Adjustment ,"
Journal of Finance ,
American Finance Association, vol. 47(2), pages 576-605, June.
Owen, Joel & Rabinovitch, Ramon, 1983.
" On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice ,"
Journal of Finance ,
American Finance Association, vol. 38(3), pages 745-52, June.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Andreas S. Andreou & George A. Zombanakis, 2006.
"Computational Intelligence in Exchange-Rate Forecasting ,"
Working Papers
49, Bank of Greece.
[Downloadable!]
Richard N. Cooper & Michael Bordo & Harold James, 2006.
"What About a World Currency? Proposal for a Common Currency among Rich Democracies. One World Money, Then and Now ,"
Working Papers
44, Bank of Greece.
[Downloadable!]
George S. Tavlas & P.A.V.B. Swamy, 2006.
"The New Keynesian Phillips Curve and Inflation Expectations: Re-Specification and Interpretation ,"
Working Papers
34, Bank of Greece.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? About 2000 working paper series are listed on RePEc .
This page was last updated on 2008-7-16.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .