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Search: subject:"GARCH-jump models"
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GARJI
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Information criteria
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Likelihood ratio test
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Lévy processes
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Mixed GARCH-jump models
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Skewed t-distribution
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Value-at-Risk
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characteristic functions
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fast Fourier transform
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option pricing
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stochastic volatility
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Bitcoin
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Bitcoin futures
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Derivat
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GARCH-jump models
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Jump risk
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Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? : evidence from
GARCH-jump
models
Zhang, Chuanhai
;
Chen, Haicui
;
Peng, Zhe
- In:
Finance research letters
47
(
2022
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10013553852
Saved in:
2
Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
Yu, Jung-Suk
-
2006
as Hansen's (1994) skewed tdistribution combined with GARCH specifications can outperform mixed
GARCH-jump
models
such as … discrete-time framework. I find that the more parsimonious GJR-HT model is superior to mixed
GARCH-jump
models
. Likelihood …
Persistent link: https://www.econbiz.de/10009451062
Saved in:
3
Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
Yu, Jung-Suk
-
2006
-time framework. I find that the moreparsimonious GJR-HT model is superior to mixed
GARCH-jump
models
. Likelihood-ratio (LR …
Persistent link: https://www.econbiz.de/10009468629
Saved in:
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