GLM-methods for volatility models

DOI10.1177/1471082X0800800303MaRDI QIDQ4970947zbMATH OpenOpenAlexFDO

Authors Joan del Castillo, Youngjo Lee

Publication date 8 October 2020

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082x0800800303

zbMATH Keywords

generalized linear modelsportfolio selectionmodelsnormal inverse Gaussian distributionLévy processeslikelihood for random-effect

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The normal inverse gaussian lévy process: simulation and approximation

Cited in

(2)

• The hierarchical-likelihood approach to autoregressive stochastic volatility models
• The mixture of left-right truncated normal distributions

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