Autoregressive Conditional Density Estimation

conditional density ARCH model Student's t distribution parametric specifications for conditional dependence skewed Student t conditional distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (only showing first 100 items - show all)

Independent Factor Autoregressive Conditional Density Model
Improving the convergence rate in conditional autoregressive models
The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
Modeling maxima with autoregressive conditional Fréchet model
Diagnostic check for heavy tail in linear time series
Modelling exchange rate returns: which flexible distribution to use?
Multivariate dependence analysis via tree copula models: an application to one-year forward energy contracts
On the robustness of portfolio allocation under copula misspecification
Testing for structural breaks in factor copula models
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
Asymptotic filtering theory for multivariate ARCH models
Revisiting the multifractality in stock returns and its modeling implications
Bayesian analysis of tail asymmetry based on a threshold extreme value model
Capturing deep tail risk via sequential learning of quantile dynamics
American option pricing under GARCH with non-normal innovations
Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
Using parametric classification trees for model selection with applications to financial risk management
News, volatility and jumps: the case of natural gas futures
On hysteretic vector autoregressive model with applications
Model-free inference for tail risk measures
Partially Adaptive Estimation of the Censored Regression Model
Using Conditional Copula to Estimate Value-at-Risk in Vietnam’s Foreign Exchange Market
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
A Copula Approach to Backward-Looking Factors in Market Based Inflation Expectations
Generalized ARMA models with martingale difference errors
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Global loss diversification in the insurance sector
Forecasting VaR and ES of stock index portfolio: a vine copula method
Unfolded GARCH models
Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
Linking Tukey's legacy to financial risk measurement
Econometric analysis of volatile art markets
Estimation of SEM with GARCH errors
Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
Dependence between stock returns and investor sentiment in Chinese markets: a copula approach
Bayesian inference of multiple structural change models with asymmetric GARCH errors
Dynamic hedging with futures: a copula-based GARCH model with high-frequency data
On double hysteretic heteroskedastic model
An empirical study of the impact of skewness and kurtosis on hedging decisions
Modeling with a large class of unimodal multivariate distributions
A conditional-SGT-VaR approach with alternative GARCH models
A two-piece normal measurement error model
A unified approach to validating univariate and multivariate conditional distribution models in time series
Semi-parametric expected shortfall forecasting in financial markets
Refining set-identification in VARs through independence
Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data
Time-varying asymmetry and tail thickness in long series of daily financial returns
Implied risk aversion: an alternative rating system for retail structured products
An economic evaluation of stock–bond return comovements with copula-based GARCH models
Dependence and risk spillover among hedging assets: evidence from Bitcoin, gold, and USD
Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
A detailed comparison of value at risk estimates
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
Correlated age-specific mortality model: an application to annuity portfolio management
Dynamic semiparametric models for expected shortfall (and value-at-risk)
Modelling time-varying higher moments with maximum entropy density
Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities
Common factors in conditional distributions for bivariate time series
Practical implications of higher moments in risk management
Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
Granger causality in risk and detection of extreme risk spillover between financial markets
Modeling and pricing long memory in stock market volatility
Residual-based rank specification tests for AR-GARCH type models
Bayesian testing for non-linearity in volatility modeling
Contemporaneous asymmetry in GARCH processes
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
Dynamic quantile function models
Joint and marginal specification tests for conditional mean and variance models
MTests with a New Normalization Matrix
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
The skew generalizedtdistribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Bayesian analysis of multivariate stochastic volatility with skew return distribution
Can properly discounted projects follow geometric Brownian motion?
Bayesian estimation and inference for log-ACD models
Fourth order pseudo maximum likelihood methods
Fractional-moment capital asset pricing model
Testing conditional asymmetry: a residual-based approach
Conditional VaR estimation using Pearson's type IV distribution
Entropy densities with an application to autoregressive conditional skewness and kurtosis.
Bootstrap specification tests for dynamic conditional distribution models
The beta log-logistic distribution
A comparison of generalized hyperbolic distribution models for equity returns
Estimation of stable distributions by indirect inference
Common volatility and correlation clustering in asset returns
On parameter orthogonality in symmetric and skew models
Modeling dependence dynamics through copulas with regime switching
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
Gram-Charlier densities.
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
Simulated Method of Moments Estimation for Copula-Based Multivariate Models
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments

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