Modeling multivariate parametric densities of financial returns (in Russian)
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References listed on IDEAS
- Labeaga, Jose M., 1999. "A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco," Journal of Econometrics, Elsevier, pages 49-72.
- John A. Tauras & Patrick M. O'Malley & Lloyd D. Johnston, 2001. "Effects of Price and Access Laws on Teenage Smoking Initiation: A National Longitudinal Analysis," NBER Working Papers 8331, National Bureau of Economic Research, Inc.
- John A. Tauras, 1999. "The Transition to Smoking Cessation: Evidence from Multiple Failure Duration Analysis," NBER Working Papers 7412, National Bureau of Economic Research, Inc.
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- Balaev , Alexey, 2011. "Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", pages 79-97.
More about this item
Keywordsconditional density; Gram-Charlier expansion; skewed distribution; quality of fit; predictive ability;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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