Rangel, J.G. and Engle, R.F. (2012) The Factor-Spline-GARCH Model for High and Low Frequency Correlations. Journal of Business & Economic Statistics, 30, 109-124.
https://doi.org/10.1080/07350015.2012.643132

has been cited by the following article:

• TITLE: Distribution Analysis of S&P 500 Financial Turbulence

  AUTHORS: Hugo Gobato Souto

  KEYWORDS: Financial Turbulence, Generalised Hyperbolic Distribution, S&P 500, Goodness-of-Fit Tests

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.1, February 21, 2023

  ABSTRACT: In 2010 a new financial risk measure was discovered, namely Financial Turbulence. Although it has been studied by other papers, its statistical distribution study is still missing. Knowing a financial phenomenon distribution is of importance when performing risk and portfolio management, especially when estimating parametric Value-at-Risk with Copulas and performing Monte Carlo simulations. Therefore, this paper explores the S&P 500 Fi-nancial Turbulence to determine its best distribution fit by making use of various residual measures and goodness-of-fit tests. Additionally, it makes use of in-sampling and out-sampling in the period between 01/11/2012 and 01/11/2022. The results of this research indicate that the Generalised Hyperbolic distribution describes the S&P 500 Financial Turbulence the best.