Search Results - subject:"non-Gaussian error"

An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility

Zhang, Ziyi; Li, Wai Keung - In: Economies 7 (2019) 2, pp. 1-11

This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error …

Persistent link: https://www.econbiz.de/10013199570

An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility

Zhang, Ziyi; Li, Wai Keung - In: Economies : open access journal 7 (2019) 2/58, pp. 1-11

This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error …

Persistent link: https://www.econbiz.de/10012021585

The relation between the high-yield bond spread and the unemployment rate in the euro area

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Finance research letters 46 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013341510

On quantile estimator in volatility model with non-negative error density and Bayesian perspective

Dutta, Debajit; Dhar, Subhra Sankar; Mitra, Amit - 2019

Persistent link: https://www.econbiz.de/10012244179

Forecasting volatility: Evidence from the Macedonian stock exchange

Kovačić, Zlatko - Volkswirtschaftliche Fakultät, … - 2007

existence of risk premium; (iv) the results are quite robust across different error distributions; and (v) GARCH models with non-Gaussian … error distributions are superior to their counterparts estimated under normality in terms of their in-sample and out …

Persistent link: https://www.econbiz.de/10005621308