GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation
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- Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
References listed on IDEAS
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- repec:taf:applec:v:50:y:2018:i:34-35:p:3647-3653 is not listed on IDEAS
- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2018.
"A note on the estimated GARCH coefficients from the S&P1500 universe,"
Applied Economics,
Taylor & Francis Journals, vol. 50(34-35), pages 3647-3653, July.
- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Working Paper series 17-09, Rimini Centre for Economic Analysis.
- Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Discussion Paper Series 2017_04, Department of Economics, University of Macedonia, revised May 2017.
- repec:eee:ecofin:v:42:y:2017:i:c:p:346-358 is not listed on IDEAS
- Guo, Xu & McAleer, Michael & Wong, Wing-Keung & Zhu, Lixing, 2017.
"A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises,"
The North American Journal of Economics and Finance,
Elsevier, vol. 42(C), pages 346-358.
- Guo, X. & McAleer, M.J. & Wong, W.-K. & Zhu, L., 2016. "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crises," Econometric Institute Research Papers EI2016-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Xu Guo & Michael McAleer & Wing-Keung Wong & Lixing Zhu, 2016. "A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises," Tinbergen Institute Discussion Papers 16-003/III, Tinbergen Institute.
More about this item
Keywords
GARCH; extreme events; S&P 500 study; tail index;JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2015-05-30 (All new papers)
- NEP-ECM-2015-05-30 (Econometrics)
- NEP-ETS-2015-05-30 (Econometric Time Series)
- NEP-RMG-2015-05-30 (Risk Management)
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