A multivariate GARCH-jump mixture model
Year of publication: |
2024
|
---|---|
Authors: | Li, Chenxing ; Maheu, John M. |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 1, p. 182-207
|
Subject: | beta dynamics | co-jump | jumps | multinomial | multivariate GARCH | value at risk | Theorie | Theory | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Volatilität | Volatility | Betafaktor | Beta risk | CAPM | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |
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