Stable mixture GARCH models
type: Item
instance of: scholarly article
title: Stable mixture GARCH models
zbMATH Open document ID: 1443.62336
author: Simon A. Broda
author: Markus Haas
author: Jochen Krause
author: Marc S. Paolella
author: Sven C. Steude
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: Broda et al Stable Mixture GARCH models AAM.pdf
full work available at URL: S0304407612001960
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6714816
zbMATH Keywords: density forecasting
zbMATH Keywords: expected shortfall
zbMATH Keywords: fat tails
zbMATH Keywords: ICA
zbMATH Keywords: GARCH
zbMATH Keywords: mixtures
zbMATH Keywords: portfolio selection
zbMATH Keywords: stable Paretian distribution
zbMATH Keywords: value-at-risk
describes a project that uses: GHICA
MaRDI profile type: Publication
OpenAlex ID: W3123598359
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DOI: 10.1016/J.JECONOM.2012.08.012
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description: scientific article; zbMATH DE number 6714816