COMFORT: a common market factor non-Gaussian returns model

DOI10.1016/j.jeconom.2015.02.041zbMath1337.62331OpenAlexW3126141853MaRDI QIDQ2347735

Paweł Polak, Marc S. Paolella

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/119579/6/COMFORT.pdf

zbMATH Keywords

stochastic volatilityGARCHEM-algorithmdensity forecastingfat tailsCCCcommon jumpsmultivariate generalized hyperbolic distributionmultivariate option pricingmultivariate asymmetric variance gamma distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (4)

Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns ⋮ RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL ⋮ Econometric analysis of financial derivatives: an overview

Uses Software

• QRM

Cites Work

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