Mixtures of \(t\)-distributions for finance and forecasting

DOI10.1016/j.jeconom.2008.01.004zbMath1418.62380MaRDI QIDQ292151

Andreas Gottschling, Christian Haefke, Raffaella Giacomini, Halbert White

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.01.004

zbMATH Keywords

neural networks; option pricing; forecast accuracy; nonparametric density estimation; ARMA-GARCH models; risk-neutral density

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

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