RT Generic
T1 Modeling financial time series with the skew slash distribution
A1 García de la Fuente, Cristina
A1 Galeano San Miguel, Pedro
A1 Wiper, Michael Peter
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB Financial 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. Theproposal is to undertake inference for a generalized autoregressive conditional heteroskedastic(GARCH) model, where the innovations are assumed to follow a skew slash distribution. Bothclassical and Bayesian inference are carried out. Simulations and a real data example illustratethe performance of the proposed methodology.
YR 2012
FD 2012-06
LK https://hdl.handle.net/10016/14545
UL https://hdl.handle.net/10016/14545
LA eng
NO We acknowledge financial support by MCI grants 2007/04438/001 and MTM2008-03010.
DS e-Archivo
RD 25 may. 2024