Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Multivariate asset return prediction with mixture models

16 references·4 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1965The Behavior of Stock-Market Prices8,707 cited
2002Dynamic Conditional Correlation7,126 cited
1995Multivariate Simultaneous Generalized ARCH4,510 cited
1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
2000Conditional Skewness in Asset Pricing Tests2,837 cited
n.d.Multivariate GARCH models: a survey2,055 cited
2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
2004A New Approach to Markov-Switching GARCH Models599 cited
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

573 cited

2004On more robust estimation of skewness and kurtosis523 cited

Cited by

2020Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management28 cited
2015COMFORT: A common market factor non-Gaussian returns model28 cited
2014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall25 cited
2017Robust normal mixtures for financial portfolio allocation25 cited