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Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed …

Persistent link: https://www.econbiz.de/10010986460

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a … applicable to the single-component multivariate GARCH(p, q) model and simplify the results existing in the literature. In an …

Persistent link: https://www.econbiz.de/10010958777

Asymmetric Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Mark S. - Center for Financial Studies - 2008

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed …

Persistent link: https://www.econbiz.de/10005007626

Multivariate Normal Mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10005138847

Pareto Improving Social Security Reform when Financial Markets are Incomplete!?

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2005

While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many...

Persistent link: https://www.econbiz.de/10004979970

The volatility of realized volatility

Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005

Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility …

Persistent link: https://www.econbiz.de/10010986437

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …

Persistent link: https://www.econbiz.de/10010958539

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger; Mittnik, Stefan - Center for Financial Studies - 2002

, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

Persistent link: https://www.econbiz.de/10010958558

Modeling and predicting market risk with Laplace-Gaussian mixture distributions

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958588

Accurate Value-at-Risk forecast with the (good old) normal-GARCH model

Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006

) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …

Persistent link: https://www.econbiz.de/10010958670