Autoregressive Conditional Density Estimation
From MaRDI portal
Publication:4319212
DOI10.2307/2527081zbMath0807.62090MaRDI QIDQ4319212
Publication date: 1 March 1995
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2527081
conditional density; ARCH model; Student's t distribution; parametric specifications for conditional dependence; skewed Student t conditional distribution
Related Items
The McDonald arcsine distribution: a new model to proportional data, Simulated Method of Moments Estimation for Copula-Based Multivariate Models, SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA, The skew generalizedtdistribution as the scale mixture of a skew exponential power distribution and its applications in robust estimation, Investor preferences and portfolio selection: is diversification an appropriate strategy?, Contemporaneous asymmetry in GARCH processes, An empirical study of the impact of skewness and kurtosis on hedging decisions, Gram-Charlier densities., The McDonald inverted beta distribution, Practical implications of higher moments in risk management, Modeling dependence dynamics through copulas with regime switching, On generalised asymmetric stochastic volatility models, Generalized beta-generated distributions, A review of copula models for economic time series, Fractional-moment capital asset pricing model, On parameter orthogonality in symmetric and skew models, Estimating value at risk of portfolio by conditional copula-GARCH method, Modelling time-varying higher moments with maximum entropy density, Common volatility and correlation clustering in asset returns, Conditional VaR estimation using Pearson's type IV distribution, Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements, The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study, Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities, Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market, Bayesian testing for non-linearity in volatility modeling, Global loss diversification in the insurance sector, Bootstrap and fast double bootstrap tests of cointegration rank with financial time series, Can properly discounted projects follow geometric Brownian motion?, Testing for GARCH effects: A one-sided approach, Skew \(t\) distributions via the sinh-arcsinh transformation, Financial econometrics -- a new discipline with new methods. (With comments), Entropy densities with an application to autoregressive conditional skewness and kurtosis., Asymptotic filtering theory for multivariate ARCH models, Modeling and pricing long memory in stock market volatility, Econometric analysis of volatile art markets, Estimation of SEM with GARCH errors, Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations, Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution, Dependence between stock returns and investor sentiment in Chinese markets: a copula approach, Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data, On geometric ergodicity of skewed-SVCHARME models, On the characteristic function for asymmetric Student \(t\) distributions, Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions, A conditional-SGT-VaR approach with alternative GARCH models, Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions, Estimation and inference of the vector autoregressive process under heteroscedasticity, Assessing the value of Hermite densities for predictive distributions, Dynamic density forecasts for multivariate asset returns, Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments, Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study, Robust estimation with flexible parametric distributions: estimation of utility stock betas, Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model, BL-GARCH models with elliptical distributed innovations, QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
