Dynamic density forecasts for multivariate asset returns
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Publication:3101653
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Cites work
- scientific article; zbMATH DE number 5035825 (Why is no real title available?)
- A generalization of the beta distribution with applications
- A new class of multivariate distributions: scale mixture of Kotz-type distributions
- A new class of multivariate skew distributions with applications to bayesian regression models
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- Autoregressive Conditional Density Estimation
- Coherent measures of risk
- Financial data and the skewed generalized \(t\) distribution
- Gram-Charlier densities.
- Gram-Charlier densities: a multivariate approach
- Incorporating higher moments into value-at-risk forecasting
- METHOD OF MOMENTS AND METHOD OF MAXIMUM LIKELIHOOD
- Moments and cumulants of the multivariate normal distribution
- Pair-copula constructions of multiple dependence
- Prediction in dynamic models with time-dependent conditional variances
- Remarks on a Multivariate Transformation
- Semi-Nonparametric Maximum Likelihood Estimation
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
- The multivariate skew-normal distribution
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