Models of asset returns: changes of pattern from high to low event frequency

DOI10.1088/1469-7688/4/3/012zbMath1409.62217OpenAlexW2063097903MaRDI QIDQ4610244

Juuso Töyli, Marko Sysi-Aho, Kimmo Kaski

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/3/012

zbMATH Keywords

asset returnsStudent \(t\) distributed innovationstime-dependent GARCH(1,1) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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