Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations

DOI10.1002/asmb.2479MaRDI QIDQ6574634

Hong Than-Thi, Mike K. P. So, Cathy W. S. Chen, Songsak Sriboonchitta

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

hysteresisMarkov chain Monte Carlo methodvalue at riskscale mixture of normal distributionsout-of-sample forecastingmarginal expected shortfallmultivariate student \(t\) distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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