Multivariate asset return prediction with mixture models
MS Paolella - The European Journal of Finance, 2015 - Taylor & Francis
The use of mixture distributions for modeling asset returns has a long history in finance. New
methods of demonstrating support for the presence of mixtures in the multivariate case are …
methods of demonstrating support for the presence of mixtures in the multivariate case are …
Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?
C Hartz, MS Paolella - Swiss Finance Institute Research Paper, 2011 - papers.ssrn.com
The use of GARCH models is widely used as an effective method for capturing the volatility
clustering inherent in financial returns series. The residuals from such models are however …
clustering inherent in financial returns series. The residuals from such models are however …
[PDF][PDF] Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?
M Paolella, C Hartz - 2012 - zora.uzh.ch
The use of GARCH models is widely used as an effective method for capturing the volatility
clustering inherent in financial returns series. The residuals from such models are however …
clustering inherent in financial returns series. The residuals from such models are however …