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Mixtures of t-distributions for finance and forecasting

Giacomini, R; Gottschling, A; Haefke, C; White, H; (2008) Mixtures of t-distributions for finance and forecasting. JOURNAL OF ECONOMETRICS , 144 (1) pp. 175-192. 10.1016/j.jeconom.2008.01.004.

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Type: Article
Title: Mixtures of t-distributions for finance and forecasting
DOI: 10.1016/j.jeconom.2008.01.004
Keywords: Social Sciences, Science & Technology, Physical Sciences, Economics, Mathematics, Interdisciplinary Applications, Social Sciences, Mathematical Methods, Business & Economics, Mathematics, Mathematical Methods In Social Sciences, ARMA-GARCH models, neural networks, nonparametric density estimation, forecast accuracy, option pricing, risk-neutral density, MULTILAYER FEEDFORWARD NETWORKS, OPTION PRICES, DERIVATIVES, DENSITIES, IMPLICIT
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of SandHS > Dept of Economics
URI: http://discovery.ucl.ac.uk/id/eprint/1353832
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