GLM-methods for volatility models

DOI10.1177/1471082X0800800303OpenAlexW1976493563MaRDI QIDQ4970947

Joan del Castillo, Youngjo Lee

Publication date: 8 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x0800800303

zbMATH Keywords

Lévy processesmodelsnormal inverse Gaussian distributionportfolio selectiongeneralized linear modelslikelihood for random-effect

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

The hierarchical-likelihood approach to autoregressive stochastic volatility models ⋮ The mixture of left-right truncated normal distributions

Cites Work

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