Pages that link to "Item:Q4319212"

The following pages link to Autoregressive Conditional Density Estimation (Q4319212):

Displaying 50 items.

• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
• Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
• Common factors in conditional distributions for bivariate time series (Q291623) (← links)
• Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks (Q299272) (← links)
• Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
• Testing conditional asymmetry: a residual-based approach (Q310968) (← links)
• The McDonald inverted beta distribution (Q378634) (← links)
• Practical implications of higher moments in risk management (Q413990) (← links)
• Modeling dependence dynamics through copulas with regime switching (Q414597) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Generalized beta-generated distributions (Q434970) (← links)
• A review of copula models for economic time series (Q443763) (← links)
• The beta log-logistic distribution (Q462124) (← links)
• Analysing financial contagion and asymmetric market dependence with volatility indices via copulas (Q470423) (← links)
• Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247) (← links)
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704) (← links)
• Multi-population mortality models: a factor copula approach (Q492648) (← links)
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
• Estimation of stable distributions by indirect inference (Q530608) (← links)
• Fractional-moment capital asset pricing model (Q603474) (← links)
• On parameter orthogonality in symmetric and skew models (Q607192) (← links)
• Estimating value at risk of portfolio by conditional copula-GARCH method (Q659148) (← links)
• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics (Q736524) (← links)
• Bayesian estimation and inference for log-ACD models (Q736572) (← links)
• Fourth order pseudo maximum likelihood methods (Q737907) (← links)
• A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems (Q827151) (← links)
• Modelling time-varying higher moments with maximum entropy density (Q834290) (← links)
• Common volatility and correlation clustering in asset returns (Q884052) (← links)
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions (Q887248) (← links)
• Generalized ARMA models with martingale difference errors (Q888346) (← links)
• The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns (Q894875) (← links)
• Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410) (← links)
• Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities (Q993802) (← links)
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market (Q1010475) (← links)
• Bayesian testing for non-linearity in volatility modeling (Q1010548) (← links)
• Global loss diversification in the insurance sector (Q1023104) (← links)
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series (Q1023836) (← links)
• Can properly discounted projects follow geometric Brownian motion? (Q1044211) (← links)
• Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
• On the robustness of portfolio allocation under copula misspecification (Q1615817) (← links)
• Revisiting the multifractality in stock returns and its modeling implications (Q1620210) (← links)
• Bayesian analysis of tail asymmetry based on a threshold extreme value model (Q1621333) (← links)
• SCOMDY models based on pair-copula constructions with application to exchange rates (Q1623548) (← links)
• Unfolded GARCH models (Q1657508) (← links)
• Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis (Q1658309) (← links)
• Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
• Objective Bayesian analysis for the multivariate skew-\(t\) model (Q1663612) (← links)