A quantile function approach to the distribution of financial returns following TGARCH models
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DOI: 10.1177/1471082x19876371
Abstract: We develop a novel quantile function approach to the distribution of financial returns that follow threshold GARCH models. We propose a Bayesian method to do estimation and forecasting simultaneously, which ensures that the density forecasts… read more here.
Keywords: function approach; approach distribution; quantile function; financial returns ... See more keywords