๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Mixture distribution-based forecasting using stochastic volatility models

โœ Scribed by A. E. Clements; S. Hurn; S. I. White


Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
167 KB
Volume
22
Category
Article
ISSN
1524-1904

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Forecasting stock market volatility usin
โœ Philip Hans Franses; Dick Van Dijk ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 444 KB ๐Ÿ‘ 1 views

In this paper we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng, 1993) and the Glosten, Jagannathan and Runkle (1992) models which have been proposed to describe, for exampl

Stochastic volatility models: conditiona
โœ Roman Liesenfeld; Robert C. Jung ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 277 KB ๐Ÿ‘ 1 views

Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility process, is normal. In this paper, the SV model based on a conditional normal distribution is compared with SV speciยฎcation

Modelling and forecasting vehicle stocks
โœ R. Gutiรฉrrez; R. Gutiรฉrrez-Sรกnchez; A. Nafidi ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 309 KB

## Abstract In the present study, we treat the stochastic homogeneous Gompertz diffusion process (SHGDP) by the approach of the Kolmogorov equation. Firstly, using a transformation in diffusion processes, we show that the probability transition density function of this process has a lognormal timeโ€

Variability of gestational age distribut
โœ Timothy B. Gage ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 149 KB ๐Ÿ‘ 1 views

As an antecedent of birthweight and in its own right, gestational age is an important proximate determinant of infant mortality. Recent analyses using mixture models of birthweight distributions suggest that substantial heterogeneity occurs within a birth cohort even when controlling for sex and eth