Autoregressive Conditional Density Estimation
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(only showing first 100 items - show all)- Neural network copula portfolio optimization for exchange traded funds
- Estimation and inference in factor copula models with exogenous covariates
- Backtesting extreme value theory models of expected shortfall
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- A detailed comparison of value at risk estimates
- Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Maximum entropy autoregressive conditional heteroskedasticity model
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Anticipating extreme losses using score-driven shape filters
- Modelling volatility dependence with score copula models
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- Multivariate elliptically contoured autoregressive process
- Portfolio selection with commodities under conditional copulas and skew preferences
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
- Modeling Dependence in High Dimensions With Factor Copulas
- Independent Factor Autoregressive Conditional Density Model
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Improving the convergence rate in conditional autoregressive models
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- Correlated age-specific mortality model: an application to annuity portfolio management
- Modelling time-varying higher moments with maximum entropy density
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Portfolios of value and momentum: disappointment aversion and non-normalities
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Modeling maxima with autoregressive conditional Fréchet model
- Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities
- Diagnostic check for heavy tail in linear time series
- Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
- Assessing the value of Hermite densities for predictive distributions
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- Modelling exchange rate returns: which flexible distribution to use?
- Common factors in conditional distributions for bivariate time series
- A generalized ordered Probit model
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- On the robustness of portfolio allocation under copula misspecification
- On geometric ergodicity of skewed-SVCHARME models
- Testing for structural breaks in factor copula models
- Practical implications of higher moments in risk management
- Robust pair-copula based forecasts of realized volatility
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Comparing Possibly Misspecified Forecasts
- Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Asymptotic filtering theory for multivariate ARCH models
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- Revisiting the multifractality in stock returns and its modeling implications
- Bayesian analysis of tail asymmetry based on a threshold extreme value model
- Modeling and pricing long memory in stock market volatility
- Bayesian testing for non-linearity in volatility modeling
- Residual-based rank specification tests for AR-GARCH type models
- Capturing deep tail risk via sequential learning of quantile dynamics
- American option pricing under GARCH with non-normal innovations
- Empirical evidence linking futures price movements of biofuel crops and conventional energy fuel
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Market price of risk estimation: Does distribution matter?
- On entropy-based goodness-of-fit test for asymmetric Student-t and exponential power distributions
- Joint value-at-risk and expected shortfall regression for location-scale time series models
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
- Selecting from among 12 alternative distributions of financial data
- Stock market uncertainty and economic fundamentals: an entropy-based approach
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Contemporaneous asymmetry in GARCH processes
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
- An economic evaluation of stock-bond return comovements with copula-based GARCH models
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Joint and marginal specification tests for conditional mean and variance models
- Using parametric classification trees for model selection with applications to financial risk management
- Dynamic density forecasts for multivariate asset returns
- Dynamic quantile function models
- GARCH model selection criteria
- News, volatility and jumps: the case of natural gas futures
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- The Student's \(t\)
- Transform MCMC schemes for sampling intractable factor copula models
- Markov switch smooth transition HYGARCH model: stability and estimation
- Model-free inference for tail risk measures
- On hysteretic vector autoregressive model with applications
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Test for tail index constancy of GARCH innovations based on conditional volatility
- Flexible conditional density estimation for time series
- Extreme risk measurement of carbon market considering multifractal characteristics
- Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Conditional higher order moments in metal asset returns
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Partially Adaptive Estimation of the Censored Regression Model
- Semiparametrically optimal cointegration test
- Asymptotic expansions for market risk assessment: evidence in energy and commodity indices
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- A robust statistical approach to select adequate error distributions for financial returns
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- Robust modeling using the generalized epsilon-skew-\(t\) distribution
- scientific article; zbMATH DE number 2219510 (Why is no real title available?)
- Bayesian estimation and inference for log-ACD models
- Fourth order pseudo maximum likelihood methods
- Can properly discounted projects follow geometric Brownian motion?
- Optimal estimating function for weak location‐scale dynamic models
- Fractional-moment capital asset pricing model
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