Unfolded GARCH models

DOI10.1016/J.JEDC.2015.06.007MaRDI QIDQ1657508zbMATH OpenOpenAlexFDO

Authors Xiaochun Liu, Richard Luger

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11794/67101

zbMATH Keywords

adaptive MCMCfolded distributioncopula modelabsolute returnsconditional skewness and kurtosisdirection-of-change model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

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• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Copula modeling: An introduction for practitioners
• Dynamic time series binary choice
• Efficient Bayesian inference for stochastic time-varying copula models
• Exact predictive densities for linear models with ARCH disturbances
• Financial modeling under non-Gaussian distributions.
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Generalized method of moments specification testing
• Gram-Charlier densities: maximum likelihood versus the method of moments
• Modeling financial return dynamics via decomposition
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Time-varying joint distribution through copulas

Cited in

(5)

• A multivariate skew-GARCH model
• Multivariate conditional higher moments volatility modeling
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• Multivariate return decomposition: theory and implications
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

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