Student‐t stochastic volatility model with composite likelihood EM‐algorithm-Reference-Cited by-同舟云学术

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Student‐t stochastic volatility model with composite likelihood EM‐algorithm

Published:2022-05-24 Issue:1 Volume:44 Page:125-147
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:Journal Time Series Analysis

Author:

Sundararajan Raanju R.¹,Barreto‐Souza Wagner²^ORCID

Affiliation:

1. Department of Statistical Science Southern Methodist University Dallas Texas USA

2. Statistics Program King Abdullah University of Science and Technology Thuwal Saudi Arabia

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12652

Reference60 articles.

1. Gamma stochastic volatility models

2. Intraday periodicity and volatility persistence in financial markets

3. Statistical arbitrage in the US equities market

4. Normal Variance-Mean Mixtures and z Distributions

5. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Review of Generalized Hyperbolic Distributions;Computational Economics;2023-08-25

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