Stefan Mittnik () (University of Kiel, University of Munich and CFS) Marc S. Paolella () (University of Kiel and University of Munich)
Abstract
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student’s t GARCH models.
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Publisher Info
Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2003/04.
Length: 23 pages Date of creation: 04 Jan 2003 Date of revision: Handle: RePEc:cfs:cfswop:wp200304
Note: The research of Stefan Mittnik was supported by the Deutsche Forschungsgemeinschaft. Contact details of provider: Postal: House of Finance, Gr�neburgplatz 1, HPF H5, D-60323 Frankfurt am Main Phone: +49 (0)69 798-30050 Fax: +49 (0)69 798-30077 Email: Web page: http://www.ifk-cfs.de/ More information through EDIRC
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