Pages that link to "Item:Q1810673"
From MaRDI portal
The following pages link to Kurtosis of GARCH and stochastic volatility models with non-normal innovations (Q1810673):
Displayed 30 items.
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models (Q477106) (← links)
- Stable mixture GARCH models (Q528154) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- Random coefficient GARCH models (Q814261) (← links)
- Random coefficient mixture (RCM) GARCH models (Q815363) (← links)
- Temporal aggregation of equity return time-series models (Q929677) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- Bayesian estimation of the Gaussian mixture GARCH model (Q1019890) (← links)
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483) (← links)
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340) (← links)
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations (Q1044011) (← links)
- Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
- Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels (Q1789603) (← links)
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series (Q2008095) (← links)
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675) (← links)
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation (Q2255951) (← links)
- Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao (Q2305971) (← links)
- Dynamic conditional angular correlation (Q2305980) (← links)
- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations (Q2324690) (← links)
- Power monotonicity in detecting volatility levels change (Q2446476) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters (Q2914954) (← links)
- The Volatility of Realized Volatility (Q3539863) (← links)
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm (Q3552853) (← links)
- Non‐trading day effects in asymmetric conditional and stochastic volatility models (Q3594915) (← links)
- A multivariate volatility vine copula model (Q5034252) (← links)
- A robust statistical approach to select adequate error distributions for financial returns (Q5138523) (← links)
- A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models (Q5220713) (← links)
- Asymmetric Multivariate Stochastic Volatility (Q5485115) (← links)
