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Quantitative Finance Volume 4, 2004 - Issue 3
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Research Paper

Testing for persistence in stock returns with GARCH-stable shocks

Prasad V Bidarkota Department of Economics, Florida International University, University Park, DM 320A, Miami, FL, 33199, USACorrespondence[email protected]
&
J Huston Mcculloch Department of Economics, The Ohio State University, 410 Arps Hall, 1945 North High Street, Columbus, OH, 43210, USA E-mail: [email protected]
Pages 256-265 | Received 12 May 2003, Published online: 19 Aug 2006

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M. Bee & L. Trapin. (2018) A characteristic function-based approach to approximate maximum likelihood estimation. Communications in Statistics - Theory and Methods 47:13, pages 3138-3160.
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Stella Kanellopoulou & Epaminondas Panas. (2008) Empirical distributions of stock returns: Paris stock market, 1980–2003. Applied Financial Economics 18:16, pages 1289-1302.
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Articles from other publishers (7)

Khurshid M. Kiani. (2015) On Modelling and Forecasting Predictable Components in European Stock Markets. Computational Economics 48:3, pages 487-502.
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Michael R. Powers. (2009) How money got its tail (not too light; not too heavy; but “just so”). The Journal of Risk Finance 10:5, pages 425-429.
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Prasad V. Bidarkota, Brice V. Dupoyet & J. Huston McCulloch. (2009) Asset pricing with incomplete information and fat tails. Journal of Economic Dynamics and Control 33:6, pages 1314-1331.
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José Dias Curto, José Castro Pinto & Gonçalo Nuno Tavares. (2007) Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions. Statistical Papers 50:2, pages 311-321.
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António Bruno Tavares, José Dias Curto & Gonçalo Nuno Tavares. (2007) Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distributions. Nonlinear Dynamics 51:1-2, pages 231-243.
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Prasad V. Bidarkota, Brice V. Dupoyet & J. Huston Mcculloch. (2005) Asset Pricing with Incomplete Information under Stable Shocks. SSRN Electronic Journal.
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Prasad V. Bidarkota, Brice V. Dupoyet & J. Huston Mcculloch. (2005) Asset Pricing with Incomplete Information under Stable Shocks. SSRN Electronic Journal.
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