Mixtures of t-distributions for finance and forecasting

Journal of Econometrics

Volumn 144, Issue 1, 2008, Pages 175-192

  Giacomini, Raffaella ^a,b,c   Gottschling, Andreas ^d   Haefke, Christian ^e,f,g   White, Halbert ^h  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c and Rationality Norwegian School of Economics   (United Kingdom)

^d DEUTSCHE BANK AG   (Germany)

^e INSTITUTE FOR ADVANCED STUDIES   (Austria)

^f Barcelona)   (Spain)

^g IZA ^*  (Germany)

^h UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

ARMA GARCH models; Forecast accuracy; Neural networks; Nonparametric density estimation; Option pricing; Risk neutral density

Indexed keywords

ECONOMIC ANALYSIS; FORECASTING; NEURAL NETWORKS; PROBABILITY DENSITY FUNCTION; PROBABILITY DISTRIBUTIONS; RISK MANAGEMENT; STATISTICAL TESTS;

ARMA-GARCH MODELS; FORECAST ACCURACY; NONPARAMETRIC DENSITY ESTIMATION; OPTION PRICING; RISK-NEUTRAL DENSITY;

FINANCIAL DATA PROCESSING;

EID: 43049109436     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.01.004     Document Type: Article

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