IDEAS home Printed from https://ideas.repec.org/r/bla/jtsera/v38y2017i2p175-190.html
   My bibliography  Save this item

Volatility Modeling with a Generalized t Distribution

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Hafner, Christian M. & Wang, Linqi, 2023. "A dynamic conditional score model for the log correlation matrix," Journal of Econometrics, Elsevier, vol. 237(2).
  2. Harvey, Andrew & Palumbo, Dario, 2023. "Score-driven models for realized volatility," Journal of Econometrics, Elsevier, vol. 237(2).
  3. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
  4. Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022. "Maximum likelihood estimation for score-driven models," Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.
  5. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022. "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, vol. 62(5), pages 2179-2203, May.
  6. Harvey, A. & Liao, Y., 2019. "Dynamic Tobit models," Cambridge Working Papers in Economics 1913, Faculty of Economics, University of Cambridge.
  7. Kamil Makieła & Błażej Mazur, 2020. "Bayesian Model Averaging and Prior Sensitivity in Stochastic Frontier Analysis," Econometrics, MDPI, vol. 8(2), pages 1-22, April.
  8. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
  9. Ayala, Astrid & Blazsek, Szabolcs, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de Economía.
  10. Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Research Papers in Economics 2022-02, University of Trier, Department of Economics.
  11. Umlandt, Dennis, 2023. "Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance," Journal of Econometrics, Elsevier, vol. 237(2).
  12. Stephen Thiele, 2020. "Modeling the conditional distribution of financial returns with asymmetric tails," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 46-60, January.
  13. Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
  14. Harvey, A. & Palumbo, D., 2021. "Regime switching models for directional and linear observations," Cambridge Working Papers in Economics 2123, Faculty of Economics, University of Cambridge.
  15. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
  16. Ruijie Guan & Xu Zhao & Weihu Cheng & Yaohua Rong, 2021. "A New Generalized t Distribution Based on a Distribution Construction Method," Mathematics, MDPI, vol. 9(19), pages 1-36, September.
  17. Harvey, Andrew & Ito, Ryoko, 2020. "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, vol. 214(1), pages 33-45.
  18. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
  19. Karol Kielak & Robert Ślepaczuk, 2020. "Value-at-risk — the comparison of state-of-the-art models on various assets," Working Papers 2020-28, Faculty of Economic Sciences, University of Warsaw.
  20. Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
  21. Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
  22. Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
  23. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models," Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  24. Harvey, Andew & Liao, Yin, 2023. "Dynamic Tobit models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 72-83.
  25. Fabrizio Leisen & Luca Rossini & Cristiano Villa, 2020. "Loss-based approach to two-piece location-scale distributions with applications to dependent data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 309-333, June.
  26. Yinhao Wu & Ping He, 2024. "The continuous-time limit of quasi score-driven volatility models," Papers 2409.14734, arXiv.org.
  27. Andrew Harvey & Rutger‐Jan Lange, 2018. "Modeling the Interactions between Volatility and Returns using EGARCH‐M," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 909-919, November.
  28. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
  29. Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
  30. Bram van Os, 2023. "Information-Theoretic Time-Varying Density Modeling," Tinbergen Institute Discussion Papers 23-037/III, Tinbergen Institute.
  31. Kamil Makie{l}a & B{l}a.zej Mazur, 2020. "Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging," Papers 2003.07150, arXiv.org, revised Oct 2020.
  32. Kamil Makieła & Błażej Mazur, 2022. "Model uncertainty and efficiency measurement in stochastic frontier analysis with generalized errors," Journal of Productivity Analysis, Springer, vol. 58(1), pages 35-54, August.
  33. Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2022. "Implicit score-driven filters for time-varying parameter models," Tinbergen Institute Discussion Papers 22-066/III, Tinbergen Institute, revised 21 Nov 2024.
  34. Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
  35. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
  36. Higbee, Joshua D. & McDonald, James B., 2024. "A comparison of the GB2 and skewed generalized log-t distributions with an application in finance," Journal of Econometrics, Elsevier, vol. 240(2).
  37. Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
  38. Palumbo, D., 2021. "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics 2111, Faculty of Economics, University of Cambridge.
  39. Van Tran, Quang & Kukal, Jaromir, 2024. "Renyi entropy based design of heavy tailed distribution for return of financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  40. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
  41. Astrid Ayala & Szabolcs Blazsek, 2019. "Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 10(1), pages 65-92, March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.