The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection

DOI10.1198/JBES.2009.07238MaRDI QIDQ3063006zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian inferencemaximum likelihood estimationGaussian mixture modelvalue at riskportfolio selectionmultivariate generalized autoregressive conditional heteroscedasticity model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(17)

• Fast clustering of GARCH processes via Gaussian mixture models
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
• Dynamic factor multivariate GARCH model
• VaR in High Dimensional Systems – a Conditional Correlation Approach
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• Asymmetric multivariate normal mixture GARCH
• Intradaily dynamic portfolio selection
• On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
• Joint forecasts of Dow Jones stocks under general multivariate loss function
• A generalized dynamic conditional correlation model for portfolio risk evaluation
• Bayesian estimation of the Gaussian mixture GARCH model
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• An approach to VaR for capital markets with Gaussian mixture
• Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
• Gaussian mixtures and financial returns
• Bayesian semiparametric multivariate GARCH modeling
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets

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