Pages that link to "Item:Q4319212"
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The following pages link to Autoregressive Conditional Density Estimation (Q4319212):
Displayed 50 items.
- The McDonald inverted beta distribution (Q378634) (← links)
- Practical implications of higher moments in risk management (Q413990) (← links)
- Modeling dependence dynamics through copulas with regime switching (Q414597) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Generalized beta-generated distributions (Q434970) (← links)
- A review of copula models for economic time series (Q443763) (← links)
- Fractional-moment capital asset pricing model (Q603474) (← links)
- On parameter orthogonality in symmetric and skew models (Q607192) (← links)
- Estimating value at risk of portfolio by conditional copula-GARCH method (Q659148) (← links)
- Modelling time-varying higher moments with maximum entropy density (Q834290) (← links)
- Common volatility and correlation clustering in asset returns (Q884052) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study (Q961410) (← links)
- Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities (Q993802) (← links)
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market (Q1010475) (← links)
- Bayesian testing for non-linearity in volatility modeling (Q1010548) (← links)
- Global loss diversification in the insurance sector (Q1023104) (← links)
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series (Q1023836) (← links)
- Can properly discounted projects follow geometric Brownian motion? (Q1044211) (← links)
- Testing for GARCH effects: A one-sided approach (Q1298438) (← links)
- Skew \(t\) distributions via the sinh-arcsinh transformation (Q1761549) (← links)
- Financial econometrics -- a new discipline with new methods. (With comments) (Q1841087) (← links)
- Entropy densities with an application to autoregressive conditional skewness and kurtosis. (Q1858911) (← links)
- Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
- Modeling and pricing long memory in stock market volatility (Q1922362) (← links)
- Econometric analysis of volatile art markets (Q1927095) (← links)
- Estimation of SEM with GARCH errors (Q1927102) (← links)
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution (Q1927130) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Dependence between stock returns and investor sentiment in Chinese markets: a copula approach (Q1936575) (← links)
- Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data (Q1952669) (← links)
- On geometric ergodicity of skewed-SVCHARME models (Q2444396) (← links)
- On the characteristic function for asymmetric Student \(t\) distributions (Q2451413) (← links)
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)
- A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
- Skewness-kurtosis bounds for the skewed generalized \(T\) and related distributions (Q2637390) (← links)
- Estimation and inference of the vector autoregressive process under heteroscedasticity (Q2890716) (← links)
- Assessing the value of Hermite densities for predictive distributions (Q3065553) (← links)
- Dynamic density forecasts for multivariate asset returns (Q3101653) (← links)
- Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments (Q3394106) (← links)
- Estimation of<i>k</i>-Factor GIGARCH Process: A Monte Carlo Study (Q3543743) (← links)
- Robust estimation with flexible parametric distributions: estimation of utility stock betas (Q3564808) (← links)
- Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440) (← links)
- BL-GARCH models with elliptical distributed innovations (Q3589975) (← links)
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (Q3632433) (← links)
- The McDonald arcsine distribution: a new model to proportional data (Q5169760) (← links)
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models (Q5327297) (← links)
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA (Q5389957) (← links)