Adaptive exponential power distribution with moving estimator for nonstationary time series
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Zhu, Dongming & Zinde-Walsh, Victoria, 2009.
"Properties and estimation of asymmetric exponential power distribution,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 86-99, January.
- Victoria Zinde-Walsh & Dongming Zhu, 2007. "Properties And Estimation Of Asymmetric Exponential Power Distribution," Departmental Working Papers 2007-11, McGill University, Department of Economics.
- ZHU, Dongming & ZINDE-WALSH, Victoria, 2007. "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche 13-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jarek Duda, 2023. "Adaptive Student's t-distribution with method of moments moving estimator for nonstationary time series," Papers 2304.03069, arXiv.org, revised Apr 2023.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe, 2024. "Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 271-304, January.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, October.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
- Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
- Sucarrat, Genaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Robina Iqbal & Ghulam Sorwar & Rose Baker & Taufiq Choudhry, 2020. "Multiday expected shortfall under generalized t distributions: evidence from global stock market," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 803-825, October.
- J. Miguel Marin & Genaro Sucarrat, 2015.
"Financial density selection,"
The European Journal of Finance, Taylor & Francis Journals, vol. 21(13-14), pages 1195-1213, November.
- Marin, J. Miguel & Sucarrat, Genaro, 2012. "Financial Density Selection," MPRA Paper 66839, University Library of Munich, Germany, revised 13 Jun 2012.
- Massimiliano Giacalone, 2022. "Optimal forecasting accuracy using Lp-norm combination," METRON, Springer;Sapienza Università di Roma, vol. 80(2), pages 187-230, August.
- Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
- Seiler, Volker, 2024.
"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
- Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
- Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2020. "The impact of industrial incidents on stock market volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
- Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Minot, Nicholas, 2014.
"Food price volatility in sub-Saharan Africa: Has it really increased?,"
Food Policy, Elsevier, vol. 45(C), pages 45-56.
- Minot, Nicholas, 2012. "Food price volatility in sub-Saharan Africa: Has it really increased?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 134146, International Association of Agricultural Economists.
- Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
- Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
- Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
- Hao Chen & Qiulan Wan & Yurong Wang, 2014. "Refined Diebold-Mariano Test Methods for the Evaluation of Wind Power Forecasting Models," Energies, MDPI, vol. 7(7), pages 1-14, July.
- Tomanova, Lucie, 2013. "Exchange Rate Volatility and the Foreign Trade in CEEC," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 267, Ekonomik Yaklasim Association.
- Chang, Chia-Lin, 2015.
"Modelling a latent daily Tourism Financial Conditions Index,"
International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
- Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.
- Jumah, Adusei & Kunst, Robert M., 2001. "The Effects of Exchange-Rate Exposures on Equity Asset Markets," Economics Series 94, Institute for Advanced Studies.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-03-23 (Econometrics)
- NEP-ETS-2020-03-23 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2003.02149. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.