A novel jump diffusion model based on SGT distribution and its applications
Weijun Xu, Guifang Liu, Hongyi Li
| Year of publication: |
December 2016
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|---|---|
| Authors: | Xu, Weijun ; Liu, Guifang ; Li, Hongyi |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 59.2016, p. 74-92
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| Subject: | Skewed generalized t distribution | Jump diffusion model | Bipower variation test | Maximum likelihood estimation | Volatility forecast | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Innovationsdiffusion | Innovation diffusion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647763