Autoregressive Conditional Density Estimation
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- Asymptotic filtering theory for multivariate ARCH models
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- Econometric analysis of volatile art markets
- Estimation of SEM with GARCH errors
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- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
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- Transmission of the Greek crisis on the sovereign debt markets in the euro area
- Structural change in the link between oil and the European stock market: implications for risk management
- Partially censored posterior for robust and efficient risk evaluation
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- A detailed comparison of value at risk estimates
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- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- A two-piece normal measurement error model
- Chasing volatility. A persistent multiplicative error model with jumps
- Test for tail index constancy of GARCH innovations based on conditional volatility
- The Marshall-Olkin family of distributions: mathematical properties and new models
- Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management
- Implied risk aversion: an alternative rating system for retail structured products
- American option pricing under GARCH with non-normal innovations
- A comparison of generalized hyperbolic distribution models for equity returns
- Residual-based rank specification tests for AR-GARCH type models
- Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
- Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
- On geometric ergodicity of skewed-SVCHARME models
- On the characteristic function for asymmetric Student \(t\) distributions
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
- A conditional-SGT-VaR approach with alternative GARCH models
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
- Estimation of flexible fuzzy GARCH models for conditional density estimation
- Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions
- Diffusion copulas: identification and estimation
- Portfolio optimization for inventory financing: copula-based approaches
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- An intuitive skewness-based symmetry test applicable to stationary time series data
- Quasi score-driven models
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- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Joint and marginal specification tests for conditional mean and variance models
- Common factors in conditional distributions for bivariate time series
- A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Maximum entropy autoregressive conditional heteroskedasticity model
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Assessing the value of Hermite densities for predictive distributions
- Dynamic density forecasts for multivariate asset returns
- Testing conditional asymmetry: a residual-based approach
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Adaptive density estimation for general ARCH models
- Robust estimation with flexible parametric distributions: estimation of utility stock betas
- Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
- The Student's \(t\)
- BL-GARCH models with elliptical distributed innovations
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
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