Non-linear properties of conditional returns under scale mixtures

DOI10.1016/J.CSDA.2006.02.001zbMATH Open1161.62421OpenAlexW1984997226MaRDI QIDQ1019936FDOQ1019936

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

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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)

Cites Work

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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On the conditional variance for scale mixtures of normal distributions
• Stock returns and hyperbolic distributions
• On the linearity of regression
• Multiple regression on stable vectors
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution
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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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