Journal article 1099 views 210 downloads
A quantile function approach to the distribution of financial returns following TGARCH models
Statistical Modelling, Start page: 1471082X1987637
Swansea University Author:
Yuzhi Cai
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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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URI: | https://cronfa.swan.ac.uk/Record/cronfa51457 |
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2020-06-26T19:02:53Z |
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2020-06-26T16:23:11.1112175 v2 51457 2019-08-16 A quantile function approach to the distribution of financial returns following TGARCH models eff7b8626ab4cc6428eef52516fda7d6 0000-0003-3509-9787 Yuzhi Cai Yuzhi Cai true false 2019-08-16 BAF Journal Article Statistical Modelling 1471082X1987637 SAGE Publications 1471-082X 1477-0342 density forecasting, financial returns, quantile function, threshold GARCH, MCMC 16 10 2019 2019-10-16 10.1177/1471082x19876371 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2020-06-26T16:23:11.1112175 2019-08-16T17:01:21.8696726 Yuzhi Cai 0000-0003-3509-9787 1 Guodong Li 2 51457__15035__a8317db96a9145208d9655370a9766db.pdf AAM.pdf 2019-08-16T17:01:55.8870000 Output 1124608 application/pdf Accepted Manuscript true 2019-08-16T00:00:00.0000000 true eng |
title |
A quantile function approach to the distribution of financial returns following TGARCH models |
spellingShingle |
A quantile function approach to the distribution of financial returns following TGARCH models Yuzhi Cai |
title_short |
A quantile function approach to the distribution of financial returns following TGARCH models |
title_full |
A quantile function approach to the distribution of financial returns following TGARCH models |
title_fullStr |
A quantile function approach to the distribution of financial returns following TGARCH models |
title_full_unstemmed |
A quantile function approach to the distribution of financial returns following TGARCH models |
title_sort |
A quantile function approach to the distribution of financial returns following TGARCH models |
author_id_str_mv |
eff7b8626ab4cc6428eef52516fda7d6 |
author_id_fullname_str_mv |
eff7b8626ab4cc6428eef52516fda7d6_***_Yuzhi Cai |
author |
Yuzhi Cai |
author2 |
Yuzhi Cai Guodong Li |
format |
Journal article |
container_title |
Statistical Modelling |
container_start_page |
1471082X1987637 |
publishDate |
2019 |
institution |
Swansea University |
issn |
1471-082X 1477-0342 |
doi_str_mv |
10.1177/1471082x19876371 |
publisher |
SAGE Publications |
document_store_str |
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0 |
published_date |
2019-10-16T04:03:21Z |
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1763753277506191360 |
score |
11.022936 |