Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Stefan Mittnik* Institute of Statistics, University of Munich, Akademiestr. 1, D-80799 Munich, Germany Ifo Institute for Economic Research, Munich, Germany Center for Financial Studies, Frankfurt, Germany* The research of S. Mittnik was supported by the Deutsche Forschungsgemeinschaft.
Marc S. Paolella Institute of Statistics and Econometrics, University of Kiel, Olshausenstr. 40, D-24098 Kiel, Germany
ABSTRACT
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns ...
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