GLM-methods for volatility models (Q4970947)

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scientific article; zbMATH DE number 7257871
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GLM-methods for volatility models
scientific article; zbMATH DE number 7257871

    Statements

    title
    GLM-methods for volatility models (English)
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    author
    Joan del Castillo
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    Youngjo Lee
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    publication date
    8 October 2020
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    zbMATH Keywords
    generalized linear models
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    Lévy processes
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    normal inverse Gaussian distribution
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    likelihood for random-effect
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    models
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    portfolio selection
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    Identifiers

    zbMATH DE Number
    7257871
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    OpenAlex ID
    W1976493563
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