Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions

DOI10.1002/asmb.2246zbMath1411.62160OpenAlexW2596580761WikidataQ55515188 ScholiaQ55515188MaRDI QIDQ4620217

Michel V. Cardoso, Ming-Hui Chen, Carlos A. Abanto-Valle, Roland Langrock

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc5621483

zbMATH Keywords

value-at-riskscale mixture of normal distributionsfeedback effectnon-Gaussian and nonlinear state-space models

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Markov processes: estimation; hidden Markov models (62M05)

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