Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
type: Item
instance of: scholarly article
title: Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
author: Cathy W. S. Chen
author: Hong Than-Thi
author: Mike K. P. So
author: Songsak Sriboonchitta
published in: Applied Stochastic Models in Business and Industry
publication date: 2024-07-18T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 7883158
zbMATH Keywords: hysteresis
zbMATH Keywords: marginal expected shortfall
zbMATH Keywords: Markov chain Monte Carlo method
zbMATH Keywords: multivariate student \(t\) distribution
zbMATH Keywords: out-of-sample forecasting
zbMATH Keywords: scale mixture of normal distributions
zbMATH Keywords: value at risk
MaRDI profile type: Publication
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DOI: 10.1002/ASMB.2479
description: scientific article; zbMATH DE number 7883158