On normal-Laplace stochastic volatility model

DOI10.1515/EQC-2022-0013MaRDI QIDQ2694031zbMATH OpenOpenAlexFDO

Authors Shiji Kavungal, Rahul Thekkedath

Publication date 27 March 2023

Published in Stochastics and Quality Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/eqc-2022-0013

zbMATH Keywords

autoregressive processfinancial time seriesgeneralized method of momentsnormal-Laplace distributionstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cites work

• A Bayesian semiparametric model for volatility with a leverage effect
• Analysis of Financial Time Series
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• Autoregressive inverse Gaussian process and the stochastic volatility modeling
• Autoregressive processes with normal-Laplace marginals
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• First-order autoregressive gamma sequences and point processes
• First-order autoregressive models for gamma and exponential processes
• scientific article; zbMATH DE number 5196663 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Inverse Gaussian Autoregressive Models
• Large Sample Properties of Generalized Method of Moments Estimators
• Non-Gaussian autoregressive-type time series
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Stochastic volatility process generated by Gumbel extreme value autoregressive model
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(2)

• Revisiting linear and lognormal stochastic volatility models
• Stochastic volatility process generated by Gumbel extreme value autoregressive model

Describes a project that uses

Uses Software

• FinTS

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