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

DOI10.1080/10629360600565319zbMATH Open1112.62122OpenAlexW1980368874MaRDI QIDQ5485060FDOQ5485060

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

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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)

Cites Work

• Title not available (Why is that?)
• 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

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