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• W1729963006 abstract "To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide weak stationarity conditions and unconditional moments to the fourth order. We apply this new class to Dow Jones index returns. We find that a two-component mixed exponential power distribution dominates mixed normal distributions with more components, and more parameters, both in-sample and out-of-sample. In contrast to mixed normal distributions, all the conditional variance processes become stationary. This happens because the mixed exponential power distribution allows for component-specific shape parameters so that it can better capture the tail behaviour. Therefore, the more general new class has attractive features over mixed normal distributions in our application: less components are necessary and the conditional variances in the components are stationary processes. Results on NASDAQ index returns are similar." @default.
• W1729963006 created "2016-06-24" @default.
• W1729963006 creator A5070497148 @default.
• W1729963006 creator A5077287445 @default.
• W1729963006 date "2009-01-13" @default.
• W1729963006 modified "2023-10-14" @default.
• W1729963006 title "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity" @default.
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• W1729963006 doi "https://doi.org/10.2202/1558-3708.1645" @default.
• W1729963006 hasPublicationYear "2009" @default.
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