A heavy-tailed distribution for ARCH residuals with application to volatility prediction

By Dimitris Nicolas Politis. 2004

58 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7870f927e98cb82603f80816304a0c4d1ba783b1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Dimitris Nicolas Politis
2. Andrew J. Patton
3. Timothy McMurry
4. Claudia Kirch
5. Joel L. Horowitz
6. Efstathios Paparoditis
7. Wolfgang Karl Härdle
8. Carsten Jentsch

Citations in the corpus

• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (2005, background): “Nevertheless, it has been conjectured that some financial time series might not possess finite fourth moments; see Davis and Mikosch (2000), Hall and Yao (2003) or Politis (2004) for a discussion.”