Time-changed GARCH versus GARJI model for extreme events : an empirical study
Year of publication: |
2024
|
---|---|
Authors: | Kao, Lie Jane ; Wu, Po-Cheng ; Lee, Cheng F. |
Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 2. - New Jersey : World Scientific, ISBN 978-981-12-6323-1. - 2024, p. 1339-1356
|
Subject: | GARCH-jump mixture model | GARJI model | Diffusion process | Compounded poisson process | Volatility clustering | Leverage effect | Ex post filter | VG NGARCH model | Variance-gamma model | Shape parameter | Ex ante prediction | Goodness of fit | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Modellierung | Scientific modelling |
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