The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection
DOI10.1198/JBES.2009.07238zbMATH Open1202.91346OpenAlexW2011090480MaRDI QIDQ3063006FDOQ3063006
Authors:
Publication date: 30 December 2010
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.07238
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Bayesian inferencemaximum likelihood estimationGaussian mixture modelvalue at riskportfolio selectionmultivariate generalized autoregressive conditional heteroscedasticity model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cited In (17)
- Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
- Bayesian semiparametric multivariate GARCH modeling
- A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
- Intradaily dynamic portfolio selection
- Asymmetric multivariate normal mixture GARCH
- An approach to VaR for capital markets with Gaussian mixture
- Fast clustering of GARCH processes via Gaussian mixture models
- Joint forecasts of Dow Jones stocks under general multivariate loss function
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
- A generalized dynamic conditional correlation model for portfolio risk evaluation
- VaR in High Dimensional Systems – a Conditional Correlation Approach
- Dynamic factor multivariate GARCH model
- Bayesian estimation of the Gaussian mixture GARCH model
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
- Gaussian mixtures and financial returns
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