Realistic Statistical Modelling of Financial Data
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Cites work
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- A general version of the fundamental theorem of asset pricing
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Cited in
(28)- Subsampling tests for the mean change point with heavy-tailed innovations
- Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
- Development of an agent-based speculation game for higher reproducibility of financial stylized facts
- A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function
- A generalized skewness statistic for stationary ergodic martingale differences
- On the empirical characteristic function process of the residuals in GARCH models and applications
- The Student subordinator model with dependence for risky asset returns
- Estimation and tests for power-transformed and threshold GARCH models
- The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions
- Brownian–Laplace Motion and Its Use in Financial Modelling
- Goodness-of-fit tests for Pareto distribution based on a characterization and their asymptotics
- Bayesian estimation of NIG models via Markov chain Monte Carlo methods
- Random rates of growth and return: introducing the expo-normal distribution
- Empirical characteristic function tests for GARCH innovation distribution using multipliers
- Inference for asymmetric exponentially weighted moving average models
- Improved Approximation of the Sum of Random Vectors by the Skew Normal Distribution
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Inference for the generalized normal Laplace distribution
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- Shape-constrained semiparametric additive stochastic volatility models
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
- Testing ARCH effect of high-dimensional time series data
- New goodness of fit tests for the Pareto distribution using Stein’s characterization for uncensored and random right censored data
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- The incompleteness problem of the APT model
- Identification and visualisation of zombie firms using self-organizing maps
- Families of distributions arising from distributions of order statistics
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