100
Views
9
CrossRef citations to date
0
Altmetric
Research Paper

Testing for persistence in stock returns with GARCH-stable shocks

&
Pages 256-265 | Received 12 May 2003, Published online: 19 Aug 2006

References

  • Akgiray , V and Booth , G G . 1988 . The stable-law model of stock returns . J. Business Econ. Statistics , 6 : 51 – 7 .
  • Bidarkota , P V and McCulloch , J H . 1998 . Optimal univariate inflation forecasting with symmetric stable shocks . J. Appl. Econometrics , 13 : 659 – 70 .
  • Bidarkota , P V and McCulloch , J H . 2003 . Consumption asset pricing with stable shocks: exploring a solution and its implications for mean equity returns . J. Econ. Dynamics Control , 27 : 399 – 421 .
  • Buckle , D J . 1995 . Bayesian inference for stable distributions . J. Am. Stat. Assoc. , 90 : 605 – 13 .
  • Cochran , S J and Defina , R H . 1995 . Duration dependence in the US stock market cycle: a parametric approach . Appl. Financial Economics , 5 : 309 – 18 .
  • Crato , N . 1994 . Some international evidence regarding the stochastic memory of stock returns . Appl. Financial Economics , 4 : 33 – 9 .
  • Danielsson , J . 1994 . Stochastic volatility in asset prices - estimation with simulated maximum likelihood . J. Econometrics , 64 : 375 – 400 .
  • de Vries , C G . 1991 . On the relation between GARCH and stable processes . J. Econometrics , 48 : 313 – 24 .
  • Diebold , F X and Lopez , J A . 1995 . “ Modeling volatility dynamics ” . In Macroeconometrics: Developments, Tensions and Prospects , Edited by: Hoover , K . 427 – 72 . Boston , MA : Kluwer Academic .
  • Engle , R F and Bollerslev , T . 1986 . Modeling the persistence of conditional variances . Econometric Rev. , 5 : 1 – 50 .
  • Fama , E F . 1991 . Efficient capital markets: II . J. Finance , 46 : 1575 – 617 .
  • French , K R , Schwert , G W and Stambaugh , R F . 1987 . Expected stock returns and volatility . J. Financial Economics , 19 : 3 – 29 .
  • Ghose , D and Kroner , K F . 1995 . The relationship between GARCH and symmetric stable processes: finding the source of fat tails in financial data . J. Empirical Finance , 2 : 225 – 51 .
  • Hamilton , J D and Lin , G . 1994 . “ Stock market volatility and the business cycle ” . In Working paper , UCSD Department of Economics .
  • Hamilton , J D and Susmel , R . 1994 . Autoregressive conditional heteroskedasticity and changes in regime . J. Econometrics , 64 : 307 – 33 .
  • Hansen , B E . 1992 . The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP . J. Appl. Econometrics , 7 ( Suppl. ) : S61-82
  • Harvey , A C . 1985 . Trends and cycles in macroeconomic time series . J. Business Econ. Statistics , 3 : 216 – 27 .
  • Hodges , P E and Hale , D F . 1993 . A computational method for estimating densities of non-Gaussian nonstationary univariate time series . J. Time Ser. Anal. , 14 : 163 – 78 .
  • Jansen , D W and de Vries , C G . 1991 . On the frequency of large stock returns: putting booms and busts into perspective . Rev. Economics Statistics , 73 : 18 – 24 .
  • Kitagawa , G . 1987 . Non-Gaussian state space modeling of nonstationary time series . J. Am. Stat. Assoc. , 82 : 1032 – 63 .
  • Kokoszka , P S and Taqqu , M S . 1995 . Fractional ARIMA with stable innovations . Stochastic Processes Applications , 60 : 19 – 47 .
  • Liu , S M and Brorsen , B W . 1995 . Maximum likelihood estimation of a GARCH-stable model . J. Appl. Econometrics , 10 : 273 – 85 .
  • Lo , A . 1991 . Long-term memory in stock market prices . Econometrica , 59 : 1279 – 313 .
  • Lumsdaine , R . 1996 . Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH(1,1) and covariance stationary GARCH(1,1) models . Econometrica , 64 : 575 – 96 .
  • Mandelbrot , B . 1963 . The variation of certain speculative prices . J. Business , 36 : 394 – 419 .
  • Mantegna , R N and Stanley , H E . 1995 . Scaling behavior in the dynamics of an economic index . Nature , 376 : 46 – 9 .
  • McCulloch , J H . 1985 . Interest-risk sensitive deposit insurance premia: stable ACH estimates . J. Banking Finance , 9 : 137 – 56 .
  • McCulloch , J H . 1987 . “ Foreign-exchange option pricing with log-stable uncertainty ” . In Recent Developments in International Banking and Finance 1 , Edited by: Khoury , S J and Ghosh , A . 231 – 45 . Lexington , MA : Lexington .
  • McCulloch , J H . 1996a . “ Financial applications of stable distributions ” . In Handbook of Statistics , Edited by: Maddala , G S and Rao , C R . Vol. 14 , 393 – 425 . Amsterdam : Elsevier .
  • McCulloch , J H . 1996b . “ Numerical approximation of the symmetric stable distribution density ” . In A Practical Guide to Heavy Tails: Statistical Techniques for Analyzing Heavy Tailed Distributions , Edited by: Adler , R , Feldman , R and Taqqu , M S . Boston , MA : Birkhauser .
  • McCulloch , J H . 1997 . Measuring tail thickness in order to estimate the stable index α: a critique . J. Business Econ. Statistics , 15 : 74 – 81 .
  • Nelson , D B . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Oh , C S . 1994 . “ Estimation of time-varying term premia of US Treasury securities: using a STARCH model with stable distributions ” . The Ohio State University . PhD Dissertation, unpublished
  • Pagan , A R and Schwert , G W . 1990 . Alternative models for conditional stock volatility . J. Econometrics , 45 : 267 – 90 .
  • Sorenson , H W and Alspach , D L . 1971 . Recursive Bayesian estimation using Gaussian sums . Automatica , 7 : 465 – 79 .
  • Summers , L H . 1986 . Does the stock market rationally reflect fundamental values? . J. Finance , 41 : 591 – 601 .
  • Watson , M . 1986 . Univariate detrending methods with stochastic trends . J. Monetary Economics , 18 : 49 – 75 .
  • Zolotarev , V M . 1986 . Odnomernye Ustoichivye Raspredeleniia , Moscow : Nauka .
  • Zolotarev , V M . 1986 . One Dimensional Stable Laws , Providence , RI : American Mathematical Society . (Engl. Transl.)

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.