DYNAMIC MODELS FOR VOLATILITY AND HEAVY TAILS: WITH APPLICATIONS TO FINANCIAL AND ECONOMIC TIME SERIES

被引：0
|
作者：
Hall, Alastair R. [1 ]
机构：
[1] Univ Manchester, Sch Social Sci, Manchester M13 9PL, Lancs, England
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2014年 / 35卷 / 02期
关键词：
D O I：
10.1111/jtsa.12061
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
引用
收藏
页码：187 / 188
页数：2
相关论文
共 50 条
  • [31] Box-Cox stochastic volatility models with heavy-tails and correlated errors
    Zhang, Xibin
    King, Maxwell L.
    JOURNAL OF EMPIRICAL FINANCE, 2008, 15 (03) : 549 - 566
  • [32] Time-Series Models of Dynamic Volatility and Correlation A tutorial on univariate and multivariate cases
    Matteson, David S.
    Ruppert, David
    IEEE SIGNAL PROCESSING MAGAZINE, 2011, 28 (05) : 72 - 82
  • [33] Overview of Long Memory for Economic and Financial Time Series Dataset and Related Time Series Models: A Review Study
    Ismail, Mohd Tahir
    Al-Gounmeein, Remal Shaher
    IAENG International Journal of Applied Mathematics, 2022, 52 (02):
  • [34] Forecasting economic and financial time-series with non-linear models
    Clements, MP
    Franses, PH
    Swanson, NR
    INTERNATIONAL JOURNAL OF FORECASTING, 2004, 20 (02) : 169 - 183
  • [35] VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
    Spagnolo, Bernardo
    Valenti, Davide
    INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 2008, 18 (09): : 2775 - 2786
  • [36] NON-LINEAR VOLATILITY MODELING OF ECONOMIC AND FINANCIAL TIME SERIES USING HIGH FREQUENCY DATA
    Matei, Marius
    ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2011, 14 (02): : 116 - 141
  • [37] Volatility clustering and long memory of financial time series and financial price model
    Niu, Hongli
    Wang, Jun
    DIGITAL SIGNAL PROCESSING, 2013, 23 (02) : 489 - 498
  • [38] Financial Time Series: Methods and Models
    Caporin, Massimiliano
    Storti, Giuseppe
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (05)
  • [39] Volatility Modeling of Financial Time Series Data Using ANFIS
    Tarno
    YucianaWilandari
    Suparti
    Ispriyanti, Dwi
    ADVANCED SCIENCE LETTERS, 2017, 23 (07) : 6562 - 6566
  • [40] Fuzzy clustering of financial time series based on volatility spillovers
    Cerqueti, Roy
    D'Urso, Pierpaolo
    De Giovanni, Livia
    Mattera, Raffaele
    Vitale, Vincenzina
    ANNALS OF OPERATIONS RESEARCH, 2023,
12345