Kurtosis of GARCH and stochastic volatility models with non-normal innovations
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Publication:1810673
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Cites work
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- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(37)- Bayesian estimation of the Gaussian mixture GARCH model
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
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- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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- Linking Tukey's legacy to financial risk measurement
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
- Introduction of the annals issue: Statistical learning for dependent data -- a celebration of the 85th birthday of Professor George C. Tiao
- Dynamic conditional angular correlation
- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
- Power monotonicity in detecting volatility levels change
- The \(L^2\)-structures of standard and switching-regime GARCH models
- Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
- The behavior of random variables with nonstationary variance and the distribution of security prices
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
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- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
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- A long memory model with normal mixture GARCH
- Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations
- Random coefficient GARCH models
- Random coefficient mixture (RCM) GARCH models
- Temporal aggregation of equity return time-series models
- GARCH option pricing: A semiparametric approach
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