Pages that link to "Item:Q2968461"

The following pages link to Volatility Modeling with a Generalized<i>t</i>Distribution (Q2968461):

Displaying 22 items.

• Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
• On asymmetric generalised t stochastic volatility models (Q1761658) (← links)
• Loss-based approach to two-piece location-scale distributions with applications to dependent data (Q2218635) (← links)
• Modeling time series when some observations are zero (Q2280595) (← links)
• Two-sided exponential-geometric distribution: inference and volatility modeling (Q2319488) (← links)
• The continuous-time limit of score-driven volatility models (Q2658765) (← links)
• Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
• Quasi score-driven models (Q2697985) (← links)
• (Q3402991) (← links)
• The generalized Gudermannian distribution: inference and volatility modelling (Q4632277) (← links)
• Inference for asymmetric exponentially weighted moving average models (Q5111784) (← links)
• A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
• Score-driven models for realized volatility (Q6090596) (← links)
• Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (Q6090598) (← links)
• On accelerating the EM-based algorithms for the VAR(1) models with multivariate generalized scaled <i>t</i>-distributed innovations (Q6114232) (← links)
• \(L_1\)-norm constraint kernel adaptive filtering framework for precise and robust indoor localization under the internet of things (Q6154779) (← links)
• A comparison of the GB2 and skewed generalized log-t distributions with an application in finance (Q6199642) (← links)
• Renyi Entropy based design of heavy tailed distribution for return of financial assets (Q6500371) (← links)
• Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
• Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
• Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)