Independent Factor Autoregressive Conditional Density Model
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Cites work
- Autoregressive Conditional Density Estimation
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Efficient factor GARCH models and factor-DCC models
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- Finite sample multivariate tests of asset pricing models with coskewness
- Independent component analysis, a new concept?
- Maximum Likelihood Estimation of Misspecified Models
- Method of moments estimation of GO-GARCH models
- Multivariate distribution models with generalized hyperbolic margins
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- On describing multivariate skewed distributions: A directional approach
- Portfolio value at risk based on independent component analysis
- The Model Confidence Set
- The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
- The econometrics of mean‐variance efficiency tests: a survey
- Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
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