Volatility modeling with a generalized t distribution
DOI10.1111/JTSA.12224zbMATH Open1360.62457OpenAlexW2258453415MaRDI QIDQ2968461FDOQ2968461
Authors:
Publication date: 16 March 2017
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12224
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Cites Work
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Properties and estimation of asymmetric exponential power distribution
- Robust estimators of the mode and skewness of continuous data.
- A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Family of multivariate generalized \(t\) distributions
- EGARCH models with fat tails, skewness and leverage
- Partially adaptive econometric methods for regression and classification
Cited In (22)
- Anticipating extreme losses using score-driven shape filters
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- Time-series models with an EGB2 conditional distribution
- Title not available (Why is that?)
- Score-driven models for realized volatility
- Inference for asymmetric exponentially weighted moving average models
- On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled t-distributed innovations
- \(L_1\)-norm constraint kernel adaptive filtering framework for precise and robust indoor localization under the internet of things
- On asymmetric generalised t stochastic volatility models
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
- Fat tails and asymmetry in financial volatility models.
- The continuous-time limit of score-driven volatility models
- A comparison of the GB2 and skewed generalized log-t distributions with an application in finance
- A dynamic conditional score model for the log correlation matrix
- Modeling time series when some observations are zero
- Renyi Entropy based design of heavy tailed distribution for return of financial assets
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Quasi score-driven models
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