Search Results - subject:"t model"

The Variance Gamma (VG) Model with Long Range Dependence

Finlay, Richard - 2009

This thesis mainly builds on the Variance Gamma (VG) model for financial assets over time of Madan & Seneta (1990) and Madan, Carr & Chang (1998), although the model based on the t distribution championed in Heyde & Leonenko (2005) is also given attention. The primary contribution of the thesis...

Persistent link: https://www.econbiz.de/10009480027

Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach

Hu, Jian - Southern Methodist University, Department of Economics - 2008

‚ dependence structures with other financial markets. The AR-GARCH-t model is used to examine the marginals, while Normal and …

Persistent link: https://www.econbiz.de/10005773595

Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach

Hu, Jian - Volkswirtschaftliche Fakultät, … - 2008

‚ dependence structures with other financial markets. The AR-GARCH-t model is used to examine the marginals, while Normal and …

Persistent link: https://www.econbiz.de/10005789899

Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue

Heracleous, Maria S. - Department of Economics, European University Institute - 2007

. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, 1987) to … degrees of freedom. Simulation results reveal that the GARCH-t model and the sample kurtosis coefficient provide biased and …

Persistent link: https://www.econbiz.de/10005816384