Non-linear mixture models for cross-sectional financial log returns

DOI10.1080/10629360600565319MaRDI QIDQ5485060zbMATH OpenOpenAlexFDO

Authors Yan Sun, Venkata Jandhyala, Stergios Fotopoulos

Publication date 28 August 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360600565319

zbMATH Keywords

tablesscale mixtureheteroscedastic modelsnonlinear mixed modelgeneralized inverse Gaussian family

Mathematics Subject Classification ID

Linear inference, regression (62J99) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Non-linear properties of conditional returns under scale mixtures
• Multivariate mixed normal conditional heteroskedasticity
• scientific article; zbMATH DE number 1928774
• Random coefficient mixture (RCM) GARCH models
• Mixed exponential power asymmetric conditional heteroskedasticity

Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• A simple approach to arbitrage pricing theory
• Non-linear properties of conditional returns under scale mixtures

Cited in

(3)

• Mixed effect models for absolute log returns of ultra high frequency data
• Non-linear properties of conditional returns under scale mixtures
• On linear combination of generalized logistic random variables with an application to financial returns

This page was built for publication: Non-linear mixture models for cross-sectional financial log returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5485060)