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Chapter 9: Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case
https://doi.org/10.1142/9789814678599_0009Cited by:0 (Source: Crossref)
Abstract:
The following sections are included:
Deviation from the Gaussian Property of the Returns of the Prices
Martingale Approach to the Study of the Returns of the Prices
Conditionally Gaussian Models. I. Linear (AR, MA, ARMA) and Nonlinear (ARCH, GARCH) Models for Returns
Conditionally Gaussian Models. II. IG- and 𝔾IG-distributions for the Square of Stochastic Volatility and 𝔾H-distributions for Returns
