Time Series Mixtures of Generalized t Experts: ML Estimation and an Application to Stock Return Density Forecasting
Year of publication: |
2010
|
---|---|
Authors: | Carvalho, Alexandre ; Skoulakis, Georgios |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 29.2010, 5-6, p. 642-687
|
Publisher: |
Taylor & Francis Journals |
Subject: | Conditional density forecast | Generalized t distribution | Heavy tail distributions | Maximum likelihood estimation | Mixtures-of-experts | Nonlinear time series |
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