Proper dispersion state space models for stochastic volatility

DOI10.1111/1467-9469.00236MaRDI QIDQ2739864zbMATH OpenOpenAlexFDO

Authors Paolo Vidoni

Publication date 16 September 2001

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00236

zbMATH Keywords

ARCH modelsgeneralized hyperbolic distributionsgeneralized inverse Gaussian distributionstochastic variancevariance-mean mixtures

Mathematics Subject Classification ID

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

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