Mixtures of \(t\)-distributions for finance and forecasting

DOI10.1016/j.jeconom.2008.01.004zbMath1418.62380OpenAlexW2071562723MaRDI QIDQ292151

Andreas Gottschling, Christian Haefke, Raffaella Giacomini, Halbert White

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.01.004

zbMATH Keywords

neural networksoption pricingforecast accuracynonparametric density estimationARMA-GARCH modelsrisk-neutral density

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Representations of the central and non-central t distributions
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