Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations

DOI10.1002/ASMB.2479MaRDI QIDQ6574634FDOQ6574634

Authors: Cathy W. S. Chen, Hong Than-Thi, Mike K. P. So, Songsak Sriboonchitta 

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

hysteresismarginal expected shortfallMarkov chain Monte Carlo methodvalue at riskscale mixture of normal distributionsout-of-sample forecastingmultivariate student \(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (2)

• Self-exciting hysteretic binomial autoregressive processes
• On a buffered threshold autoregressive stochastic volatility model

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