Mixed GARCH-jump models with generalized error distribution for assets returns

zbMATH Open1225.62143MaRDI QIDQ3098447FDOQ3098447

Authors: Yu-Jan Shen, Kuan-Fu Shen, Mingchih Lee 

Publication date: 17 November 2011

Full work available at URL: http://www.pphmj.com/abstract/2720.htm

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zbMATH Keywords

jump intensitynormal distributionsGEDDJIAGARJI

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (2)

• Title not available (Why is that?)
• Generalized aggregation of misspecified models: with an application to asset pricing

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