Fat tails and asymmetry in financial volatility models

Mathematics and Computers in Simulation

Volumn 64, Issue 3-4, 2004, Pages 351-361

  Verhoeven, Peter ^a   McAleer, Michael ^b  

^a CURTIN UNIVERSITY   (Australia)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Asymmetric volatility; Conditional non normality; Leptokurtosis; Location parameter; Outliers; Skewness

Indexed keywords

DATA ACQUISITION; DATA REDUCTION; ERROR ANALYSIS; ESTIMATION; MATHEMATICAL MODELS; NORMAL DISTRIBUTION; PROBABILITY DENSITY FUNCTION; RISK ASSESSMENT;

ASYMMETRIC VOLATILITY; CONDITIONAL NON-NORMALITY; LEPTOKURTOSIS; LOCATION PARAMETERS; OUTLIERS; SKEWNESS;

INVESTMENTS;

EID: 0942266806     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(03)00101-0     Document Type: Conference Paper

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