scientific article; zbMATH DE number 7247667

zbMath1463.62362MaRDI QIDQ5120637

Payap Tarkhamtham, Roengchai Tansuchat, Jirakom Sirisrisakulchai

Publication date: 15 September 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3018

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zbMATH Keywords

EGARCHminimum informationenergy commodity futures return

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Uses Software

• fminsearch

Cites Work

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• Pair-copula constructions of multiple dependence
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• Entropy minimization, \(DAD\) problems, and doubly stochastic kernels
• The correct regularity condition and interpretation of asymmetry in EGARCH
• Generalized autoregressive conditional heteroscedasticity
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Concerning nonnegative matrices and doubly stochastic matrices
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Probability Theory

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