IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility

  • George A. Christodoulakis


    (Bank of Greece and Manchester Business School)

  • Stephen E Satchell

    (Trinity College, University of Cambridge and Bank of Greece)

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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Full Text
    Download Restriction: no

    Paper provided by Bank of Greece in its series Working Papers with number 32.

    in new window

    Length: 21 pages
    Date of creation: Jan 2006
    Date of revision:
    Handle: RePEc:bog:wpaper:32
    Contact details of provider: Web page:

    More information through EDIRC

    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.:

    as in new window
    1. Papazoglou, Christos & Pentecost, Eric J., 2004. "The dynamic adjustment of a transition economy in the early stages of transformation," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 547-561, September.
    2. Sophia, 2003. "Greek Monetary Economics in Retrospect: The Adventures of the Drachma," Working Papers 02, Bank of Greece.
    3. Sophocles N. Brissimis & George Hondroyiannis & P. A. V. B. Swamy & George S. Tavlas, 2003. "Empirical Modelling of Money Demand in Periods of Structural Change: The Case of Greece," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 605-628, December.
    4. Hondroyiannis, George & Lazaretou, Sophia, 2004. "Inflation persistence during periods of structural change: an assessment using Greek data," Working Paper Series 0370, European Central Bank.
    5. Panayotis Kapopoulos & Sophia Lazaretou, 2009. "Does corporate ownership structure matter for economic growth? A cross-country analysis," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 155-172.
    6. Yiannis Stournaras, 2005. "Aggregate Supply and Demand, the Real Exchange Rate and Oil Price Denomination," Working Papers 26, Bank of Greece.
    7. George Stubos & Ioannis Tsikripis, 2005. "Regional Integration Challenges in South East Europe: Banking Sector Trends," Working Papers 24, Bank of Greece.
    8. Brissimis, Sophocles N. & Magginas, Nicholas S., 2006. "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1225-1234, September.
    9. George Hondroyiannis & P.A.V.B. Swamy & George Tavlas & Michael Ulan, 2008. "Some Further Evidence on Exchange-Rate Volatility and Exports," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 144(1), pages 151-180, April.
    10. Athanasoglou, Panayiotis & Brissimis, Sophocles & Delis, Matthaios, 2005. "Bank-specific, industry-specific and macroeconomic determinants of bank profitability," MPRA Paper 32026, University Library of Munich, Germany.
    11. Harris Dellas & George Tavlas, 2005. "Wage Rigidity and Monetary Union," Economic Journal, Royal Economic Society, vol. 115(506), pages 907-927, October.
    12. Alexandros E. Milionis, 2003. "Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach," Working Papers 07, Bank of Greece.
    13. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
    14. Stephen Hall & George Hondroyiannis, 2006. "Measuring the correlation of shocks between the EU15 and the new member countries," Economic Change and Restructuring, Springer, vol. 39(1), pages 19-34, June.
    15. Heather D Gibson & Euclid Tsakalotos, 2003. "Capital Flows and Speculative Attacks in Prospective EU Member States," Working Papers 06, Bank of Greece.
    16. Stephen G. Hall & Nicholas G. Zonzilos, 2003. "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers 04, Bank of Greece.
    17. Nicholas G. Zonzilos, 2004. "Econometric Modelling at the Bank of Greece," Working Papers 14, Bank of Greece.
    18. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.
    19. Sophocles N. Brissimis & Nicholas S. Magginas, 2003. "Changes in Financial Structure and Asset Price Substitutability: A Test of the Bank Lending Channel," Working Papers 05, Bank of Greece.
    20. Hondroyiannis, George & Lolos, Sarantis & Papapetrou, Evangelia, 2005. "Financial markets and economic growth in Greece, 1986-1999," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 173-188, April.
    21. Harris Dellas & George S. Tavlas, 2004. "The Global Implications of Regional Exchange Rate Regines," Working Papers 18, Bank of Greece.
    22. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003. "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers 08, Bank of Greece.
    23. Eleni Angelopoulou, 2005. "The Comparative Performance of Q-type and Dynamic Models of Firm Investment: Empirical Evidence from the UK," Working Papers 27, Bank of Greece.
    24. Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2005. "Measuring Liquidity in the Greek Government Securities Market," Working Papers 23, Bank of Greece.
    25. Nicos C. Kamberoglou & Elias Liapis & George T. Simigiannis & Panagiota Tzamourani, 2004. "Cost Efficiency in Greek Banking," Working Papers 09, Bank of Greece.
    26. Theodoros S. Papaspyrou, 2004. "EMU Strategies: Lessons from Past Experience in View of EU Enlargement," Working Papers 11, Bank of Greece.
    27. Dimitrios Sideris & Nicholas G. Zonzilos, 2005. "The Greek Model of the European System of Central Banks Multi-Country Model," Working Papers 20, Bank of Greece.
    28. Sophocles N. Brissimis & Theodora S. Kosma, 2005. "Market Power, Innovative Activity and Exchange Rate Pass-Through," Working Papers 22, Bank of Greece.
    29. Christos Papazoglou, 2005. "Real Exchange Rate Dynamics and Output Contraction under Transition," Working Papers 29, Bank of Greece.
    30. George A. Christodoulakis & Emmanuel C. Mamatzakis, 2005. "The European Union GDP Forecast Rationality under Asymmetric Preferences," Working Papers 30, Bank of Greece.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bog:wpaper:32. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christina Tsochatzi)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.