Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72636
Authors: 
Mittnik, Stefan
Paolella, Marc S.
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper 2003/04
Abstract: 
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student's t GARCH models.
Subjects: 
Risk Management
Value at Risk
Density Forecasting
Predictive Likelihood
JEL: 
C22
C51
G10
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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