Multivariate conditional higher moments volatility modeling

zbMATH Open1174.91519MaRDI QIDQ5453313FDOQ5453313

Authors: Qifa Xu, Shi-ying Zhang 

Publication date: 4 April 2008

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zbMATH Keywords

independent component analysishigher momentstime-varying riskGram-Charlier series expansionmultivariate GARCHSK model

Mathematics Subject Classification ID

Cited In (6)

• Incorporating higher moments into value-at-risk forecasting
• Title not available (Why is that?)
• Multivariate volatility in environmental finance
• A multifactor volatility Heston model
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models
• Analysis of high dimensional multivariate stochastic volatility models

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