Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations (Q6574634)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations |
scientific article; zbMATH DE number 7883158
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations |
scientific article; zbMATH DE number 7883158 |
Statements
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations (English)
0 references
18 July 2024
0 references
hysteresis
0 references
marginal expected shortfall
0 references
Markov chain Monte Carlo method
0 references
multivariate student \(t\) distribution
0 references
out-of-sample forecasting
0 references
scale mixture of normal distributions
0 references
value at risk
0 references
0 references
0 references
0 references
