Mixtures of t-distributions for Finance and Forecasting
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- Giacomini, Raffaella & Gottschling, Andreas & Haefke, Christian & White, Halbert, 2008. "Mixtures of t-distributions for finance and forecasting," Journal of Econometrics, Elsevier, vol. 144(1), pages 175-192, May.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015.
"State price densities implied from weather derivatives,"
Insurance: Mathematics and Economics,
Elsevier, vol. 64(C), pages 106-125.
- Wolfgang Karl HÃ¤rdle & Brenda LÃ³pez-Cabrera & Huei-Wen Teng, 2013. "State Price Densities implied from weather derivatives," SFB 649 Discussion Papers SFB649DP2013-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Juan Carlos Martínez-Ovando & Stephen G. Walker, 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.
- Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
- Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
More about this item
KeywordsARMA-GARCH models; neural networks; nonparametric density estimation; forecast accuracy; option pricing; risk neutral density;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-20 (All new papers)
- NEP-ECM-2007-10-20 (Econometrics)
- NEP-ETS-2007-10-20 (Econometric Time Series)
- NEP-FOR-2007-10-20 (Forecasting)
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