Search Results - subject:"Multivariate-t"

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014505189

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...

Persistent link: https://www.econbiz.de/10013482884

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

Persistent link: https://www.econbiz.de/10013472790

Testing and predicting volatility spillover : a multivariate GJR-GARCH approach

Aftab, Hira; Beg, Rabiul Alam; Sun, Sizhong; Zhou, Zhangyue - In: Theoretical economics letters 9 (2019) 1, pp. 83-99

Persistent link: https://www.econbiz.de/10012005368

Correlation Under Stress In Normal Variance Mixture Models

Kalkbrener, Michael; Packham, Natalie - 2018

We investigate correlations of asset returns in stress scenarios where a common risk factor is truncated. Our analysis is performed in the class of normal variance mixture (NVM) models, which encompasses many distributions commonly used in nancial modelling. For the special cases of jointly...

Persistent link: https://www.econbiz.de/10012433184

An entropy divergence, D-distribution and its selected application in multivariate financial time series

Jayakumar, G. S. David Sam; Sulthan, A.; Samuel, W. - In: International journal of financial services management … 11 (2021) 2, pp. 134-148

Persistent link: https://www.econbiz.de/10012940016

Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017

Persistent link: https://www.econbiz.de/10011799030

Bayesian asset pricing testing under multivariate t-distribution

Zhang, Heng; Wang, Nianling; Li, Yong; Zhan, Yiwei - In: Applied economics letters 26 (2019) 11, pp. 898-901

Persistent link: https://www.econbiz.de/10012204429

The copula based on multivariate t-distribution with vector of degrees of freedom

Balaev, Alexey - In: Applied Econometrics 33 (2014) 1, pp. 90-110

In this paper we construct a copula based on the multivariate t-distribution with vector degrees of freedom parameter …, which possesses significant advantages over the copula based on the standard multivariate t-distribution. We derive the … asset returns on financial markets. We also propose an algorithm of simulating random vectors with multivariate t …

Persistent link: https://www.econbiz.de/10011106274

The multivariate-t distribution and the Simes inequality

Block, Henry W.; Savits, Thomas H.; Wang, Jie; Sarkar, … - In: Statistics & Probability Letters 83 (2013) 1, pp. 227-232

multivariate-t distribution does not satisfy this (MTP2) property, so other means are necessary. A corollary was given in Sarkar … (1998) to handle this distribution, but there is an error. In this paper a direct proof is given to show the multivariate-t …

Persistent link: https://www.econbiz.de/10010593931