On testing the adequacy of stable processes under conditional heteroscedasticity

Journal of Empirical Finance

Volumn 9, Issue 2, 2002, Pages 257-270

  Deo, Rohit S ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Conditional heteroscedasticity; Goodness of fit; Stable; Tail index

Indexed keywords

EID: 0036183940     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00053-6     Document Type: Article

References (11)

1. Estimation of stable-law parameters: A comparative study
2. Comment on modelling asset returns with alternative stable distributions
3. On estimation and testing goodness-of-fit for m-dependent stable sequences
4. On the relation between GARCH and stable processes
5. The behaviour of stock market prices
6. Tail estimates of East European exchange rates
7. The variation of certain speculative prices
8. Stationarity and persistence in the GARCH(1,1) model