Stable mixture GARCH models

DOI10.1016/J.JECONOM.2012.08.012zbMATH Open1443.62336OpenAlexW3123598359MaRDI QIDQ528154FDOQ528154

Simon A. Broda, Marc S. Paolella, Sven C. Steude, Jochen Krause, Markus Haas

Publication date: 12 May 2017

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

Full work available at URL: https://www.zora.uzh.ch/id/eprint/55873/5/Broda_et_al_Stable_Mixture_GARCH_models_AAM.pdf

zbMATH Keywords

expected shortfallGARCHmixturesportfolio selectionvalue-at-riskdensity forecastingfat tailsICAstable Paretian distribution

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) Portfolio theory (91G10)

Cites Work

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Cited In (9)

• Title not available (Why is that?)
• Financial modeling with heavy-tailed stable distributions
• Title not available (Why is that?)
• RBF methods in a stochastic volatility framework for Greeks computation
• Title not available (Why is that?)
• Bayesian inference for a mixture double autoregressive model
• Bayesian analysis of multivariate stable distributions using one-dimensional projections
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
• Title not available (Why is that?)

Uses Software

• GHICA

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