GLM-methods for volatility models

Statistical Modelling

Volumn 8, Issue 3, 2008, Pages 263-283

  del Castillo, Joan ^a   Lee, Youngjo ^b  

^a UNIVERSITAT AUTÒNOMA DE BARCELONA   (Spain)

^b Seoul National University   (South Korea)

Author keywords

Generalized linear models; L vy processes; Likelihood for random effect; Models; Normal inverse Gaussian distribution; Portfolio selection

Indexed keywords

EID: 57449114138     PISSN: 1471082X     EISSN: 14770342     Source Type: Journal    
DOI: 10.1177/1471082X0800800303     Document Type: Article

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