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http://hdl.handle.net/10016/9380
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| ws104125.pdf | -- 2010-10-08 -- Available on Internet -- preprint | 325,57 kB | Adobe PDF | |  |
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| Title: | Comparing sample and plug-in moments in asymmetric Garch Models |
| Author(s): | Rodríguez, Mª José
Ruiz, Esther [ortega] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Oct-2010 |
| URI: | http://hdl.handle.net/10016/9380 |
| Abstract: | The adequacy of GARCH models is often analyzed by comparing plug-in and sample kurtosis and autocorrelations of squares. We analyse the finite sample suitability of this comparison and show that it is not appropiate in general. |
| Serie / Nº.: | UC3M Working papers. Statistics and Econometrics
10-25 |
| Keywords: | Autocorrelations of squares
Cross-correlations
Heterocedasticity
Kurtosis
Leverage effect
TGARCH |
| JEL Classification: | C22 |
| Appears in Collections: | Economists Online
DES - Working Papers. Statistics and Econometrics. WS
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