A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals
Ημερομηνία
2006Συγγραφέας
Politis, Dimitris NicolasISSN
0731-9053Source
Advances in EconometricsVolume
20 PART 1Pages
105-124Google Scholar check
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical maximum likelihood is also given, and a real data example is worked out. © 2006 Elsevier Ltd. All rights reserved.