Non-linear properties of conditional returns under scale mixtures-Reference-Cited by-同舟云学术

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Non-linear properties of conditional returns under scale mixtures

Published:2007-03 Issue:6 Volume:51 Page:3041-3056
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Fotopoulos Stergios B.,Jandhyala Venkata K.,Chen Kim-Heng

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference31 articles.

1. Normal inverse Gaussian distributions and stochastic volatility modelling;Barndorff-Nielsen;Scand. J. Statist.,1997

2. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finanancial Stochastics,1998

3. A comparison of the stable and student distributions as statistical models for stock prices;Blattberg;J. Business,1974

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986

5. ARCH modeling in finance: a view of the theory and empirical evidence;Bollerslev;J. Econometrics,1992

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