Proper Dispersion State Space Models for Stochastic Volatility

DOI10.1111/1467-9469.00236zbMath0973.62080OpenAlexW1981050173MaRDI QIDQ2739864

Paolo Vidoni

Publication date: 16 September 2001

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00236

zbMATH Keywords

ARCH modelsgeneralized inverse Gaussian distributiongeneralized hyperbolic distributionsstochastic variancevariance-mean mixtures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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