Showing 1 - 10 of 60
A fast method is developed for value-at-risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves the use...
Persistent link: https://www.econbiz.de/10010429763
This paper shows how independent component analysis can be used to estimate the generalized orthogonal GARCH model in a fraction of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation structure from that of the univariate...
Persistent link: https://www.econbiz.de/10013150668
Persistent link: https://www.econbiz.de/10003907527
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10003961455
Persistent link: https://www.econbiz.de/10001707592
Persistent link: https://www.econbiz.de/10002214262
Persistent link: https://www.econbiz.de/10002349828
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 allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
Persistent link: https://www.econbiz.de/10003351512
Persistent link: https://www.econbiz.de/10003351679