A component GARCH model with time varying weights

DOI10.2202/1558-3708.1512MaRDI QIDQ3574741zbMATH OpenOpenAlexFDO

Authors Giuseppe Storti, Luc Bauwens

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1512

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(9)

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• Robust M-estimation of multivariate GARCH models
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration
• Varying Coefficient GARCH Models
• Stable mixture GARCH models
• Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
• A GARCH-type model with cross-sectional volatility clusters
• Markov switching asymmetric GARCH model: stability and forecasting
• Asymmetric multivariate normal mixture GARCH

Describes a project that uses

Uses Software

• CAViaR

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