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While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...
Persistent link: https://www.econbiz.de/10010298301
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10010298337
exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010421303
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …
Persistent link: https://www.econbiz.de/10010317385
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …
Persistent link: https://www.econbiz.de/10009767120
Persistent link: https://www.econbiz.de/10010370491
Persistent link: https://www.econbiz.de/10010489123
exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010429763
exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010412665
Persistent link: https://www.econbiz.de/10011499783