Non-linear properties of conditional returns under scale mixtures

DOI10.1016/J.CSDA.2006.02.001MaRDI QIDQ1019936zbMATH OpenOpenAlexFDO

Authors Stergios Fotopoulos, Venkata Jandhyala, Kim-Heng Chen

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.02.001

zbMATH Keywords

conditional variancescale mixturesregression equationfinancial returns and APT

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) General nonlinear regression (62J02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of hypergeometric functions (33C90)

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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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• On the linearity of regression
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• Stock returns and hyperbolic distributions
• The conditional variance for gamma mixtures of normal distributions

Cited in

(2)

• Non-linear mixture models for cross-sectional financial log returns
• Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

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