Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series (English)
- New search for: Maruotti, A.
- New search for: Punzo, A.
- New search for: Bagnato, L.
- New search for: Maruotti, A.
- New search for: Punzo, A.
- New search for: Bagnato, L.
In:
JOURNAL OF FINANCIAL ECONOMETRICS
;
17
, 1
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91-117
;
2019
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ISSN:
- Article (Journal) / Print
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Title:Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series
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Contributors:
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Published in:JOURNAL OF FINANCIAL ECONOMETRICS ; 17, 1 ; 91-117
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Publisher:
- New search for: Oxford University Press
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Publication date:2019-01-01
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Size:27 pages
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ISSN:
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Type of media:Article (Journal)
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Type of material:Print
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Language:English
- New search for: 330.015195 / 332
- Further information on Dewey Decimal Classification
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Classification:
DDC: 330.015195 / 332 -
Source:
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Table of contents – Volume 17, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
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Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility ModelGorgi, P. / Hansen, P. R. / Janus, P. / Koopman, S. J. et al. | 2019
- 33
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Factor High-Frequency-Based Volatility (HEAVY) ModelsSheppard, K. / Xu, W. et al. | 2019
- 66
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Fractional Integration and Fat Tails for Realized Covariance KernelsOpschoor, A. / Lucas, A. et al. | 2019
- 91
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Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns SeriesMaruotti, A. / Punzo, A. / Bagnato, L. et al. | 2019
- 118
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Parallel Bayesian Inference for High-Dimensional Dynamic Factor CopulasNguyen, H. / Ausín, M. C. / Galeano, P. et al. | 2019