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GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation

Author

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  • Frantisek Turnovec

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nábreží 6, 111 01 Prague 1, Czech Republic)

Abstract

In this paper the concepts of manipulation as strategic voting (misrepresentation of true preferences) and strategic nomination (by adding, or removing alternatives) are investigated. The connection between Arrow’s and Gibbard-Satterthwaite theorems is discussed from the viewpoint of dilemma between dictatorship and manipulability.

Suggested Citation

  • Frantisek Turnovec, 2015. "GARCH Models, Tail Indexes and Error Distributions: An Empirical Investigation," Working Papers IES 2015/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2015.
  • Handle: RePEc:fau:wpaper:wp2015_11
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    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/5281/lang/cs
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    Keywords

    Arrow’s theorem; dictatorship; Gibbard-Satterthwaite theorem; manipulation; Pareto efficiency; strategic voting; strategic nomination;

    JEL classification:

    • D71 - Microeconomics - - Analysis of Collective Decision-Making - - - Social Choice; Clubs; Committees; Associations

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