On testing the adequacy of stable processes under conditional heteroscedasticity
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References listed on IDEAS
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- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
- Koedijk, Kees G & Kool, Clemens J M, 1992. "Tail Estimates of East European Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 83-96, January.
- de Vries, Casper G., 1991.
"On the relation between GARCH and stable processes,"
Journal of Econometrics,
Elsevier, vol. 48(3), pages 313-324, June.
- de Vries, C.G., 1990. "On the relation between GARCH and stable processes," Discussion Paper 1990-34, Tilburg University, Center for Economic Research.
- 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.
- 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.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
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