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Keywords:Heavy tails OR Heavy Tails 

Working Paper
Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance

Strong consistency and weak distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators for a class of ARCH(p) models. Conditions for these results include (relatively) mild moment existence criteria that are supported empirically by many (high frequency) financial returns. These conditions are not shared by competing closed-form estimators like OLS. Identification of these TSLS estimators depends on asymmetry, either in the model's rescaled errors or in the conditional variance function. Monte Carlo studies reveal TSLS ...
Finance and Economics Discussion Series , Paper 2016-083

Working Paper
When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood

Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sources to asymmetry in the model's innovations, casting skewness as an instrument in a linear, two-stage least squares estimator. Properties of regular variation coupled with point process theory establish the distributional limits of these estimators as stable, though highly non-Gaussian, with slow convergence rates relative to the ??n-case. Moment ...
Finance and Economics Discussion Series , Paper 2019-030

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Prono, Todd 2 items

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