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A quantile function approach to the distribution of financial returns following TGARCH models / Yuzhi Cai, Guodong Li

Statistical Modelling, Start page: 1471082X1987637

Swansea University Author: Yuzhi Cai

Published in: Statistical Modelling
ISSN: 1471-082X 1477-0342
Published: SAGE Publications 2019
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa51457
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Keywords: density forecasting, financial returns, quantile function, threshold GARCH, MCMC
Start Page: 1471082X1987637