Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

DOI10.1080/03610920601001790zbMath1109.62054OpenAlexW1983688976MaRDI QIDQ3436007

Kim-Heng Chen, Stergios B. Fotopoulos, Venkata K. Jandhyala

Publication date: 8 May 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601001790

zbMATH Keywords

characteristic functionnonlinear regressiongeneralized inverse Gaussian distributionfinancial log returnsgeneralized hyperbolic models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Generalized Hyperbolic Diffusion Processes with Applications in Finance
• Models for non-Gaussian variation, with applications to turbulence

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