Journal article 1082 views 208 downloads
A quantile function approach to the distribution of financial returns following TGARCH models
Statistical Modelling, Start page: 1471082X1987637
Swansea University Author:
Yuzhi Cai
-
PDF | Accepted Manuscript
Download (1.07MB)
DOI (Published version): 10.1177/1471082x19876371
Abstract
A quantile function approach to the distribution of financial returns following TGARCH models
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 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Keywords: |
density forecasting, financial returns, quantile function, threshold GARCH, MCMC |
---|---|
Start Page: |
1471082X1987637 |