GLM-methods for volatility models

DOI10.1177/1471082X0800800303OpenAlexW1976493563MaRDI QIDQ4970947FDOQ4970947

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

• Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Title not available (Why is that?)
• Generalized Linear Models with Random Effects
• Conditional and marginal models: another view (with comments and rejoinder)
• Multivariate Stochastic Variance Models
• Hyperbolic distributions in finance
• Double Hierarchical Generalized Linear Models (With Discussion)
• Title not available (Why is that?)
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The normal inverse gaussian lévy process: simulation and approximation
• Title not available (Why is that?)
• Likelihood for random-effect models
• Modelling and estimating heavy-tailed non-homogeneous correlated queues: Pareto-inverse gamma HGLM with covariates

Cited In (2)

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

This page was built for publication: GLM-methods for volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4970947)