Generalized EGARCH Random Effect Models Application to Financial Time Series
DOI10.1080/03610918.2010.503016zbMATH Open1205.62127OpenAlexW1973584122MaRDI QIDQ3072385FDOQ3072385
Publication date: 3 February 2011
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2010.503016
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Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH modeling in finance. A review of the theory and empirical evidence
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- The Price Variability-Volume Relationship on Speculative Markets
- BUGS for a Bayesian analysis of stochastic volatility models
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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