On a GARCH Model with Normal Scale Mixture Innovations

International Journal of Engineering and Manufacturing ◽

10.5815/ijem.2012.02.02 ◽

2012 ◽

Vol 2 (2) ◽

pp. 8-14

Author(s):

Feng Feng

Keyword(s):

Garch Model ◽

Scale Mixture ◽

Normal Scale

Download Full-text

Mixture Modeling Using the Multivariate Restricted Skew-Normal Scale Mixture of Birnbaum–Saunders Distributions

Iranian Journal of Science and Technology Transactions A Science ◽

10.1007/s40995-020-01020-0 ◽

2020 ◽

Author(s):

Hossaein Samary ◽

Zahra Khodadadi ◽

Hedieh Jafarpour

Keyword(s):

Mixture Modeling ◽

Scale Mixture ◽

Normal Scale ◽

Skew Normal

Download Full-text

A normal scale mixture representation of the logistic distribution

Statistics & Probability Letters ◽

10.1016/0167-7152(91)90181-p ◽

1991 ◽

Vol 11 (1) ◽

pp. 69-70 ◽

Cited By ~ 9

Author(s):

Leonard A. Stefanski

Keyword(s):

Logistic Distribution ◽

Scale Mixture ◽

Normal Scale

Download Full-text

A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models

Journal of Statistical Computation and Simulation ◽

10.1080/00949655.2013.812092 ◽

2013 ◽

Vol 85 (1) ◽

pp. 202-215 ◽

Cited By ~ 1

Author(s):

Byungtae Seo ◽

Taewook Lee

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Scale Mixture ◽

Normal Scale

Download Full-text

Binary Response Regression with Normal Scale Mixture Links

Generalized Linear Models ◽

10.1201/9781482293456-21 ◽

2000 ◽

pp. 249-260

Keyword(s):

Binary Response ◽

Scale Mixture ◽

Normal Scale

Download Full-text

Existence of a normal scale mixture with a given variance and a percentile

Statistics & Probability Letters ◽

10.1016/0167-7152(95)00104-2 ◽

1996 ◽

Vol 28 (2) ◽

pp. 115-120 ◽

Cited By ~ 2

Author(s):

Sanjib Basu

Keyword(s):

Scale Mixture ◽

Normal Scale

Download Full-text

CVaR value research on portfolios of stock that contain index futures based on time-varying-copula-GARCH model

Industrial Electronics and Engineering ◽

10.2495/iciee140551 ◽

2014 ◽

Author(s):

Yue Ding ◽

Xiaoxi Li ◽

Chuanglian Chen

Keyword(s):

Garch Model ◽

Time Varying ◽

Index Futures

Download Full-text

Forward Persistence of Volatility, Kurtosis, and the GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1460380 ◽

2009 ◽

Author(s):

Amir Khalilzadeh

Keyword(s):

Garch Model ◽

The Garch Model

Download Full-text

Evidence for Hedge Fund Predictability from a Multivariate Student-T Full-Factor GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1538294 ◽

2009 ◽

Cited By ~ 1

Author(s):

Ioannis D. Vrontos

Keyword(s):

Hedge Fund ◽

Garch Model

Download Full-text

Detecting Statistical Arbitrage Opportunities Using a Combined Neural Network - GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1984252 ◽

2012 ◽

Cited By ~ 1

Author(s):

Nikos S. Thomaidis ◽

Nick Kondakis

Keyword(s):

Neural Network ◽

Garch Model ◽

Statistical Arbitrage ◽

Arbitrage Opportunities

Download Full-text

Asymptotic Inference for Real-Time GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.2809055 ◽

2016 ◽

Author(s):

Ekaterina Smetanina

Keyword(s):

Real Time ◽

Garch Model ◽

Asymptotic Inference

Download Full-text