2019
DOI: 10.22606/jaef.2019.42004
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On Heteroscedastic, Skewed and Leptokurtic Log Returns and Spectral Density of Standardized Residuals

Abstract: A search for a distribution which adequately describes the dynamics of log returns has been a subject of study for many years. Empirical evidence has resulted in stylized facts of returns. Arguably, in this study, the three components of returns, mean equation part, the changing variance part and the resulting residuals are determined and their corresponding parameters estimated within the proposed framework. Spectral density analysis is used to trace the seasonality component inherent in the standardized resi… Show more

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Cited by 1 publication
(1 citation statement)
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“…According to diverse authors (Mwaniki, 2019;Segovia, Fernández-Martínez & Sánchez-Granero, 2019;Takahashi, Chen & Tanaka-Ishii, 2019;Nikolova et al, 2020), the empirical distribution of financial series is skewed, heavy-tailed, and displays volatility clustering. Hence, we also estimate GAS models under the same three distributions.…”
Section: Garch-type Models Employedmentioning
confidence: 99%
“…According to diverse authors (Mwaniki, 2019;Segovia, Fernández-Martínez & Sánchez-Granero, 2019;Takahashi, Chen & Tanaka-Ishii, 2019;Nikolova et al, 2020), the empirical distribution of financial series is skewed, heavy-tailed, and displays volatility clustering. Hence, we also estimate GAS models under the same three distributions.…”
Section: Garch-type Models Employedmentioning
confidence: 99%