Dynamic score-driven independent component analysis
Year of publication: |
2023
|
---|---|
Authors: | Hafner, Christian M. ; Herwartz, Helmut |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 2, p. 298-308
|
Subject: | Multivariate GARCH | Portfolio selection | Risk management | Structural vector autoregressions | Portfolio-Management | VAR-Modell | VAR model | Risikomanagement | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
-
Econometric analysis of financial count data and portfolio choice : a dynamic approach
Rengifo, Erick W., (2005)
-
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli, (2018)
-
Hands-On Value-at-Risk and expected shortfall : a practical primer
Auer, Martin, (2018)
- More ...
-
Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M., (2004)
-
Hafner, Christian M., (1999)
-
Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications
Hafner, Christian M., (1999)
- More ...