Electronic Resource
Springer
Review of quantitative finance and accounting
5 (1995), S. 155-167
ISSN:
1573-7179
Keywords:
Paretian distribution
;
stable distribution
;
conditional heteroskedasticity
;
leptokurtosis
;
Monte Carlo
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract A GARCH-stable process is tested as a model of the distribution of daily futures prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by some past research. The remaining rejections of the GARCH-stable model could be due to the inappropriateness of the stable distribution assumption or to other factors such as ignoring day-of-the-week effects and price limits.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01075173
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