Multivariate mixed normal conditional heteroskedasticity
DOI10.1016/J.CSDA.2006.10.012zbMATH Open1161.62398OpenAlexW3122537114MaRDI QIDQ1019987FDOQ1019987
Authors: Luc Bauwens, Christian M. Hafner, Jeroen V. K. Rombouts 
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://sites.uclouvain.be/econ/DP/IRES/2006-7.pdf
Recommendations
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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Cited In (36)
- A long memory model with normal mixture GARCH
- 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
- Multivariate conditional higher moments volatility modeling
- Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection
- Estimation of SEM with GARCH errors
- 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
- On a multivariate conditional heteroscedastic model
- Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
- Inference for mixed generalized exponential distribution under progressively type-II censored samples
- Stable mixture GARCH models
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