Mixtures of \(t\)-distributions for finance and forecasting
Publication:292151
DOI10.1016/j.jeconom.2008.01.004zbMath1418.62380MaRDI QIDQ292151
Andreas Gottschling, Christian Haefke, Raffaella Giacomini, Halbert White
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.01.004
neural networks; option pricing; forecast accuracy; nonparametric density estimation; ARMA-GARCH models; risk-neutral density
62M20: Inference from stochastic processes and prediction
62G07: Density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Cites Work
- A test for independence based on the correlation dimension
- DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION
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