Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations (Q6574634)
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scientific article; zbMATH DE number 7883158
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations |
scientific article; zbMATH DE number 7883158 |
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Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations (English)
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18 July 2024
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hysteresis
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marginal expected shortfall
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Markov chain Monte Carlo method
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multivariate student \(t\) distribution
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out-of-sample forecasting
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scale mixture of normal distributions
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value at risk
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