Asymmetric multivariate normal mixture GARCH

DOI10.1016/j.csda.2007.12.018zbMath1453.62101OpenAlexW2125420460MaRDI QIDQ961408

Stefan Mittnik, Markus Haas, Marc S. Paolella

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/221/08_07.pdf

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (15)

Maximum likelihood estimation of the Markov-switching GARCH model ⋮ Dynamic factor multivariate GARCH model ⋮ Estimation of SEM with GARCH errors ⋮ Multivariate truncated moments ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Testing for misspecification in the short-run component of GARCH-type models ⋮ Identifying financial time series with similar dynamic conditional correlation ⋮ Joint forecasts of Dow Jones stocks under general multivariate loss function ⋮ Robust M-estimation of multivariate GARCH models ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Stable mixture GARCH models ⋮ A Monte Carlo Markov chain algorithm for a class of mixture time series models ⋮ Improved Approximation of the Sum of Random Vectors by the Skew Normal Distribution ⋮ Portfolio Selection with Common Correlation Mixture Models ⋮ Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

Uses Software

• RiskMetrics

Cites Work

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