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Modeling financial time series with the skew slash distribution

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorGarcĂ­a de la Fuente, Cristina
dc.contributor.authorGaleano San Miguel, Pedro
dc.contributor.authorWiper, Michael Peter
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­stica
dc.date.accessioned2012-06-12T15:04:34Z
dc.date.available2012-06-12T15:04:34Z
dc.date.issued2012-06
dc.description.abstractFinancial returns often present moderate skewness and high kurtosis. As a consequence, it is natural to look for a model that is exible enough to capture these characteristics. The proposal is to undertake inference for a generalized autoregressive conditional heteroskedastic (GARCH) model, where the innovations are assumed to follow a skew slash distribution. Both classical and Bayesian inference are carried out. Simulations and a real data example illustrate the performance of the proposed methodology.
dc.description.sponsorshipWe acknowledge financial support by MCI grants 2007/04438/001 and MTM2008-03010.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws121108
dc.identifier.urihttps://hdl.handle.net/10016/14545
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries12-08
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĂ­stica
dc.subject.otherFinancial returns
dc.subject.otherGARCH model
dc.subject.otherKurtosis
dc.subject.otherSkew slash distribution
dc.subject.otherSkewness
dc.titleModeling financial time series with the skew slash distribution
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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