Non-linear properties of conditional returns under scale mixtures

DOI10.1016/j.csda.2006.02.001zbMath1161.62421OpenAlexW1984997226MaRDI QIDQ1019936

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

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

Related Items

Non-linear mixture models for cross-sectional financial log returns

Cites Work

• Stock returns and hyperbolic distributions
• ARCH modeling in finance. A review of the theory and empirical evidence
• Multiple regression on stable vectors
• Processes of normal inverse Gaussian type
• On the conditional variance for scale mixtures of normal distributions
• Generalized autoregressive conditional heteroscedasticity
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution
• On the linearity of regression
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The conditional variance for gamma mixtures of normal distributions
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