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

DOI10.1002/ASMB.2479MaRDI QIDQ6574634zbMATH OpenFDO

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)

Cites work

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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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