A multivariate skew-garch model

DOI10.1016/S0731-9053(05)20002-6zbMath1190.91167MaRDI QIDQ3571961

Marc G. Genton, Giovanni De Luca, Nicola M. R. Loperfido

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (10)

Penalized maximum likelihood estimator for finite multivariate skew normal mixtures ⋮ A Computational Perspective on Projection Pursuit in High Dimensions: Feasible or Infeasible Feature Extraction ⋮ Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem ⋮ Robust M-estimation of multivariate GARCH models ⋮ Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Improved Approximation of the Sum of Random Vectors by the Skew Normal Distribution ⋮ Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models? ⋮ Singular value decomposition of the third multivariate moment ⋮ Vector-valued skewness for model-based clustering

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