On Bayesian Modeling of Fat Tails and Skewness
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Cited in
(only showing first 100 items - show all)- Nonparametric Bayesian modelling using skewed Dirichlet processes
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Archimedean copula estimation using Bayesian splines smoothing techniques
- A small sample comparison of maximum likelihood, moments and \(L\)-moments methods for the asymmetric exponential power distribution
- Linear mixed models with skew-elliptical distributions: a Bayesian approach
- Time series with infinite-order partial copula dependence
- Testing symmetry under a skew Laplace model.
- A Bayesian prediction using the skew Gaussian distribution.
- EGARCH models with fat tails, skewness and leverage
- Analysis of dynamic correlation of Japanese stock returns with network clustering
- Sharpening Wald-type inference in robust regression for small samples
- Linking Tukey's legacy to financial risk measurement
- Bayesian analysis of two-piece location-scale models under reference priors with partial information
- On quadratic logistic regression models when predictor variables are subject to measurement error
- Bayesian quantile regression using the skew exponential power distribution
- Robust linear static panel data models using -contamination
- Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- A family of skew distributions with mode-invariance through transformation of scale
- Flexible linear mixed models with improper priors for longitudinal and survival data
- Liquidity tail risk and credit default swap spreads
- Using parametric classification trees for model selection with applications to financial risk management
- Skew \(t\) distributions via the sinh-arcsinh transformation
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- A new class of independence tests for interval forecasts evaluation
- Specification tests for the error distribution in GARCH models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Implementing the wild bootstrap using a two-point distribution
- Inference for grouped data with a truncated skew-Laplace distribution
- Likelihood-based inference for power distributions
- Reference priors for the general location-scale model
- Reference priors for non-normal two-sample problems
- A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
- Statistical methods for analysis of combined categorical biomarker data from multiple studies
- On some circular distributions induced by inverse stereographic projection
- Bucket plot: a visual tool for skewness and kurtosis comparisons
- A Bayesian regression model for the non-standardized t distribution with location, scale and degrees of freedom parameters
- Multi-feature evaluation of financial contagion
- A general panel break test based on the self-normalization method
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Avoiding zero probability events when computing value at risk contributions
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Loss-based approach to two-piece location-scale distributions with applications to dependent data
- Bootstrap prediction in univariate volatility models with leverage effect
- On a transform for modeling skewness
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
- A discrete density approach to Bayesian quantile and expectile regression with discrete responses
- A parametric regression framework for the skew sinh-arcsinh \(t\) distribution
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Modified beta distributions
- On the Fernández-Steel distribution: inference and application
- A two-piece normal measurement error model
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Gram-Charlier-like expansions of the convoluted hyperbolic-secant density
- An age-at-death distribution approach to forecast cohort mortality
- Two-sided exponential-geometric distribution: inference and volatility modeling
- On the propriety of the posterior of hierarchical linear mixed models with flexible random effects distributions
- Residual-based rank specification tests for AR-GARCH type models
- Evaluating predictors of dispersion: a comparison of dominance analysis and Bayesian model averaging
- Semiparametric stochastic volatility modelling using penalized splines
- A general approach for obtaining wrapped circular distributions via mixtures
- The multivariate alpha-power model
- Bayesian skew selection for multivariate models
- On the characteristic function for asymmetric Student \(t\) distributions
- An empirical evaluation of fat-tailed distributions in modeling financial time series
- Infinite divisibility of skew Gaussian and Laplace laws
- Testing the information matrix equality with robust estimators
- A note on rescalings, reparametrizations and classes of distributions
- The t family and their close and distant relations
- On the empirical characteristic function process of the residuals in GARCH models and applications
- The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries
- Aggregation of dependent risks using the Koehler-Symanowski copula function
- The multivariate skew-slash distribution
- Bayesian inference for shape mixtures of skewed distributions, with application to regression analysis
- Modality for scenario analysis and maximum likelihood allocation
- Risk quantification and validation for Bitcoin
- Finite-sample properties of estimators for first and second order autoregressive processes
- Flexible asymmetric multivariate distributions based on two-piece univariate distributions
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Quasi score-driven models
- Likelihood and posterior shapes in Johnson's \(S_B\) system
- Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers
- Quantile regression for location-scale time series models with conditional heteroscedasticity
- A new skew logistic distribution: properties and applications
- Risk Measures and Asset Pricing Models with New Versions of Wang Transform
- Linear regression with a dependent skewed Dirichlet process
- Maximum entropy autoregressive conditional heteroskedasticity model
- Testing conditional asymmetry: a residual-based approach
- Tractable Bayesian variable selection: beyond normality
- On modelling asymmetric data using two-piece sinh-arcsinh distributions
- An order of asymmetry in copulas, and implications for risk management
- Skewness and fat tails in discrete choice models
- A flexible generalization of the skew normal distribution based on a weighted normal distribution
- Characterization based symmetry tests and their asymptotic efficiencies
- Indirect Estimation of α-Stable Distributions and Processes
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- Multiplicative random walk Metropolis-Hastings on the real line
- Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes
- Specification tests for the distribution of errors in nonparametric regression: a martingale approach
- Le Cam optimal tests for symmetry against Ferreira and Steel's general skewed distributions
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