Modeling financial time series with the skew slash distribution
AbstractFinancial returns often present moderate skewness and high kurtosis. As a consequence, it is natural to look for a model that is exible enough to capture these characteristics. The proposal is to undertake inference for a generalized autoregressive conditional heteroskedastic (GARCH) model, where the innovations are assumed to follow a skew slash distribution. Both classical and Bayesian inference are carried out. Simulations and a real data example illustrate the performance of the proposed methodology.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws121108.
Date of creation: Jun 2012
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Financial returns; GARCH model; Kurtosis; Skew slash distribution; Skewness;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
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