Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry
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DOI: 10.17016/FEDS.2017.095
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More about this item
Keywords
GARCH; Pareto tails; Heavy tail; Regular variation; Threshold GARCH;All these keywords.
JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-10-01 (Econometrics)
- NEP-ETS-2017-10-01 (Econometric Time Series)
- NEP-ORE-2017-10-01 (Operations Research)
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