An empirical evaluation of fat-tailed distributions in modeling financial time series (Q2479445): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2007.02.008
+Normal rank
@@ Property / OpenAlex ID @@
+W2086335099
@@ Property / OpenAlex ID: W2086335099 / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
+Normal rank
@@ Property / cites work @@
+Bayesian inference on GARCH models using the Gibbs sampler
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of a three-component hierarchical design model
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+A multivariate generalized Laplace distributions design
+Normal rank
@@ Property / cites work @@
+On Bayesian Modeling of Fat Tails and Skewness
@@ Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank @@
+Normal rank
@@ Property / cites work @@
+A multivariate generalization of the power exponential family of distributions
+Normal rank
@@ Property / cites work @@
+Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
+Normal rank
@@ Property / cites work @@
+The NIG-S&amp;ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+On sampling the degree-of-freedom of Student's-\(t\) disturbances
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2479445