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ArticleBayesian estimation of the Gaussian mixture GARCH model

M. Concepción Ausín2006

OA

Articlegreen2006

Bayesian estimation of the Gaussian mixture GARCH model

M. Concepción Ausín · Pedro Galeano

77 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Bayesian Methods and Mixture Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2000Value At Risk: The New Benchmark for Managing Financial Risk 2007Modelling Financial Time Series 1996Statistical aspects of ARCH and stochastic volatility

Cited by

2012Stable mixture GARCH models 2008Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications 2013BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY 2008Asymmetric multivariate normal mixture GARCH 2013A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation 2017

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2013A comprehensive review of Value at Risk methodologiesarticle · 10 shared references 2008Glossary to ARCH (GARCH)preprint · 9 shared references 2005Volatility Forecastingreport · 9 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 9 shared references 2009Modelling Regime‐Specific Stock Price Volatility*article · 9 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 8 shared references

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Year2006

Typearticle

Published2006-02-04

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations77

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2006.01.006

openalex_workW1966908276

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Chasing volatility

2009The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection