Non-linear mixture models for cross-sectional financial log returns

DOI10.1080/10629360600565319zbMath1112.62122OpenAlexW1980368874MaRDI QIDQ5485060

Yan Sun, Venkata K. Jandhyala, Stergios B. Fotopoulos

Publication date: 28 August 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600565319

zbMATH Keywords

tablesscale mixtureheteroscedastic modelsnonlinear mixed modelgeneralized inverse Gaussian family

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear inference, regression (62J99)

Cites Work

• Non-linear properties of conditional returns under scale mixtures
• A simple approach to arbitrage pricing theory
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