Skew-Normal Mixture and Markov-Switching GARCH Processes

DOI10.2202/1558-3708.1765MaRDI QIDQ3064340zbMATH OpenOpenAlexFDO

Authors Markus Haas

Publication date 21 December 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1765

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Statistical tables (62Q05) Statistical methods; risk measures (91G70)

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Cited in

(14)

• Maximum likelihood estimation of the Markov-switching GARCH model
• Statistical inference for mixture GARCH models with financial application
• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• A skew regression model for inference of stock volatility
• A multivariate skew-GARCH model
• Risk measures for skew normal mixtures
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution
• A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
• scientific article; zbMATH DE number 7255567 (Why is no real title available?)
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Empirical application of normal mixture GARCH and value-at-risk estimation
• The APP for estimating population proportion based on skew normal approximations and the Beta-Bernoulli process
• A long memory model with normal mixture GARCH

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