Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions

Abanto-Valle, Carlos A.; Langrock, Roland; Chen, Ming-Hui; Cardoso, Michel V.

Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions

Abanto-Valle CA, Langrock R, Chen M-H, Cardoso MV (2017)
Applied Stochastic Models in Business and Industry 33(4): 394–408.

Zeitschriftenaufsatz | Veröffentlicht | Englisch

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DOI

https://doi.org/10.1002/asmb.2246

Autor*in

Abanto-Valle, Carlos A.; Langrock, Roland^UniBi; Chen, Ming-Hui; Cardoso, Michel V.

Einrichtung

Fakultät für Wirtschaftswissenschaften > Lehrstuhl für Statistik und Datenanalyse
Zentrum für Statistik

Erscheinungsjahr

2017

Zeitschriftentitel

Applied Stochastic Models in Business and Industry

Band

33

Ausgabe

4

Seite(n)

394–408

ISSN

1524-1904

Page URI

https://pub.uni-bielefeld.de/record/2909601

Zitieren

Abanto-Valle CA, Langrock R, Chen M-H, Cardoso MV. Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry. 2017;33(4):394–408.

Abanto-Valle, C. A., Langrock, R., Chen, M. - H., & Cardoso, M. V. (2017). Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry, 33(4), 394–408. doi:10.1002/asmb.2246

Abanto-Valle, Carlos A., Langrock, Roland, Chen, Ming-Hui, and Cardoso, Michel V. 2017. “Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions”. Applied Stochastic Models in Business and Industry 33 (4): 394–408.

Abanto-Valle, C. A., Langrock, R., Chen, M. - H., and Cardoso, M. V. (2017). Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry 33, 394–408.

Abanto-Valle, C.A., et al., 2017. Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry, 33(4), p 394–408.

C.A. Abanto-Valle, et al., “Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions”, Applied Stochastic Models in Business and Industry, vol. 33, 2017, pp. 394–408.

Abanto-Valle, C.A., Langrock, R., Chen, M.-H., Cardoso, M.V.: Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry. 33, 394–408 (2017).

Abanto-Valle, Carlos A., Langrock, Roland, Chen, Ming-Hui, and Cardoso, Michel V. “Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions”. Applied Stochastic Models in Business and Industry 33.4 (2017): 394–408.

Daten bereitgestellt von European Bioinformatics Institute (EBI)