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Estimating and testing skewness in a stochastic volatility model

Lee, Cheol Woo; Kang, Kyu Ho - In: Journal of empirical finance 72 (2023), pp. 445-467

Persistent link: https://www.econbiz.de/10014476881

On a stochastic degradation model based on the generalised inverse Gaussian distribution

Tamaru, Leona; Nagatsuka, Hideki - In: Asian journal of management science and applications : AJMSA 4 (2019) 1, pp. 49-58

Persistent link: https://www.econbiz.de/10012154205

Explicit form of approximate transition probability density functions of diffusion processes

Choi, Seungmoon - In: Journal of econometrics 187 (2015) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10011498739

Poisson area-biased Ailamujia Distribution and its applications in environmental and medical sciences

Aijaz, Ahmad; Ul Ain, S. Qurat; Afaq, Ahmad; Tripathi, … - In: Statistics in transition : an international journal of … 23 (2022) 3, pp. 167-184

In this paper, a new Poisson area-biased Ailamujia distribution has been formulated to analyse count data. It was created by combining two distributions: the Poisson and area-biased Ailamujia distributions, using the compounding technique. Several distributional properties of the formulated...

Persistent link: https://www.econbiz.de/10013428864

GARCH models without positivity constraints : exponential or log GARCH?

Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10010189881

Efficient estimation and filtering for multivariate jump-diffusions

Guay, François; Schwenkler, Gustavo - In: Journal of econometrics 223 (2021) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10012619970

A novel jump diffusion model based on SGT distribution and its applications

Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92

Persistent link: https://www.econbiz.de/10011647763

Hawkes-based models for high frequency financial data

Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185

Persistent link: https://www.econbiz.de/10013532430

Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model

Arvanitis, Stelios; Louka, Alexandros - In: Economics letters 161 (2017), pp. 135-137

Persistent link: https://www.econbiz.de/10011904539

Bayesian estimation of stochastic tail index from high-frequency financial data

Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711

Persistent link: https://www.econbiz.de/10012664628