Multivariate mixed normal conditional heteroskedasticity

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

scientific article; zbMATH DE number 3567782 (Why is no real title available?)
scientific article; zbMATH DE number 951459 (Why is no real title available?)
A computationally efficient feasible sequential quadratic programming algorithm
Finite mixture models
Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
On a Mixture Autoregressive Conditional Heteroscedastic Model
On a Mixture Autoregressive Model
Regime switching for dynamic correlations

Cited in

(36)

A long memory model with normal mixture GARCH
Inference for mixed generalized exponential distribution under progressively type-II censored samples
Recursive online EM estimation of mixture autoregressions
Bayesian semiparametric multivariate GARCH modeling
Robust M-estimation of multivariate GARCH models
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
A generalized normal mean-variance mixture for return processes in finance
Asymmetric multivariate normal mixture GARCH
Mixture periodic autoregressive conditional heteroskedastic models
A non-stationary paradigm for the dynamics of multivariate financial returns
Concurrent processing of heteroskedastic vector-valued mixture density models
Maximum likelihood estimation of the Markov-switching GARCH model
A multiplicative model for volume and volatility
Mixed exponential power asymmetric conditional heteroskedasticity
COMFORT: a common market factor non-Gaussian returns model
A full-factor multivariate GARCH model
Riding with the four horsemen and the multivariate normal tempered stable model
Statistical inference for mixture GARCH models with financial application
An applied study with a generalized bivariate mixture model in China stock market
Non-linear mixture models for cross-sectional financial log returns
Joint forecasts of Dow Jones stocks under general multivariate loss function
Computational techniques for applied econometric analysis of macroeconomic and financial processes
Non-linear properties of conditional returns under scale mixtures
The uncertainty of conditional returns, volatilities and correlations in DCC models
Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation
Multivariate conditional higher moments volatility modeling
Estimation of SEM with GARCH errors
The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection
Estimating a finite mixed exponential distribution under progressively type-II censored~data
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Neglected heterogeneity in moment condition models
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Bayesian inference for the mixed conditional heteroskedasticity model
Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
On a multivariate conditional heteroscedastic model
Stable mixture GARCH models

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