Showing 51 - 60 of 101
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...
Persistent link: https://www.econbiz.de/10011386468
Persistent link: https://www.econbiz.de/10001718624
Persistent link: https://www.econbiz.de/10001590381
Persistent link: https://www.econbiz.de/10001415847
Persistent link: https://www.econbiz.de/10001471423
Persistent link: https://www.econbiz.de/10001471440
Persistent link: https://www.econbiz.de/10001472890
Persistent link: https://www.econbiz.de/10001554549
Persistent link: https://www.econbiz.de/10001792714
Persistent link: https://www.econbiz.de/10001792789