Journal article 1183 views 229 downloads
A quantile function approach to the distribution of financial returns following TGARCH models
Yuzhi Cai 
,
Guodong Li
,
Guodong Li
Statistical Modelling, Start page: 1471082X1987637
Swansea University Author:
Yuzhi Cai
-
PDF | Accepted Manuscript
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DOI (Published version): 10.1177/1471082x19876371
Abstract
A quantile function approach to the distribution of financial returns following TGARCH models
| Published in: | Statistical Modelling |
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| ISSN: | 1471-082X 1477-0342 |
| Published: |
SAGE Publications
2019
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa51457 |
| Keywords: |
density forecasting, financial returns, quantile function, threshold GARCH, MCMC |
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| Start Page: |
1471082X1987637 |