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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/14795
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| Title: | On testing the adequacy of stable processes under conditional heteroscedasticity |
| Authors: | Deo, Rohit S. |
| Keywords: | Stable
Goodness-of-fit
Conditional heteroscedasticity
Tail index |
| Issue Date: | 17-Oct-2001 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-2000-11 |
| Abstract: | We consider a recently proposed method of estimating the tail index and
testing the goodness-of-fit of dependent stable processes. Through Monte
Carlo simulations, we evaluate the ability of the procedure to
distinguish between stable and non-stable processes in the presence of
non-linear dependence and to estimate the tail index of the
distribution. We then apply the test to black market East European
exchange rates, whose distributional and tail behaviour has been
analysed previously in the literature. After adjusting for seasonality,
we conclude, unlike the earlier analysis, that a stable process cannot
be rejected as a model for some of the currencies. Estimates of the tail
index for these currencies are also obtained. |
| URI: | http://hdl.handle.net/2451/14795 |
| Appears in Collections: | IOMS: Statistics Working Papers
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