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A quantile function approach to the distribution of financial returns following TGARCH models

Cai, YZ; Li, GD

Cai, YZ (reprint author), Swansea Univ, Sch Management, Swansea SA1 8EN, W Glam, Wales.

STATISTICAL MODELLING, 0; ():

Abstract

We develop a novel quantile function approach to the distribution of financial returns that follow threshold GARCH models. We propose a Bayesian metho......

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