Stable mixture GARCH models
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Cites work
- scientific article; zbMATH DE number 5901077 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- A component GARCH model with time varying weights
- A constrained formulation of maximum-likelihood estimation for normal mixture distributions
- A simple general approach to inference about the tail of a distribution
- A tail estimator for the index of the stable paretian distribution∗
- Asymmetric multivariate normal mixture GARCH
- Bayesian estimation of the Gaussian mixture GARCH model
- Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
- Conditional heteroskedasticity driven by hidden Markov chains
- Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
- Consistent estimation of the order of mixture models.
- Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
- Empirical distributions of stock returns: between the stretched exponential and the power law?
- Estimating the components of a mixture of normal distributions
- Fat tails and volatility clustering in experimental asset markets
- Finite mixture and Markov switching models.
- Generalized autoregressive conditional heteroscedasticity
- Indirect estimation of elliptical stable distributions
- Intermediate Probability
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Mixed exponential power asymmetric conditional heteroskedasticity
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Multivariate mixed normal conditional heteroskedasticity
- Portfolio optimization when risk factors are conditionally varying and heavy tailed
- Stable distributions in the Black–Litterman approach to asset allocation
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
- Stationarity of stable power-GARCH processes.
- Strong consistency of the maximum likelihood estimator for finite mixtures of location-scale distributions when penalty is imposed on the ratios of the scalar parameter
- Testing the stable Paretian assumption
- The qq-estimator and heavy tails
- Theory and inference for a Markov switching GARCH model
Cited in
(16)- Mixture Gaussian time series modeling of long-term market returns
- scientific article; zbMATH DE number 5002302 (Why is no real title available?)
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Financial modeling with heavy-tailed stable distributions
- Asymmetric multivariate normal mixture GARCH
- Portfolio Selection with Common Correlation Mixture Models
- Bayesian analysis of multivariate stable distributions using one-dimensional projections
- scientific article; zbMATH DE number 1775009 (Why is no real title available?)
- Bayesian inference for a mixture double autoregressive model
- Scenario generation and portfolio selection in bear market with GARCH models
- scientific article; zbMATH DE number 5371346 (Why is no real title available?)
- RBF methods in a stochastic volatility framework for Greeks computation
- Mixture distribution‐based forecasting using stochastic volatility models
- Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- On the geometric ergodicity of the mixture autoregressive model
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