Search Results - subject:"Skew Student T" - EconBiz

Forecasting tail risk of skewed financial returns having exponential-polynomial tails

Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748

Persistent link: https://www.econbiz.de/10015110551

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

assumptions (Skew Student-T, Student-T and Gaussian). Accurate one-day-ahead VaR predictions up to the 99% quantile are generally … obtained for the time series when Skew Student-T distributed innovations are assumed. The VaR exceedance rates and their …

Persistent link: https://www.econbiz.de/10014322586

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

assumptions (Skew Student-T, Student-T and Gaussian). Accurate one-day-ahead VaR predictions up to the 99% quantile are generally … obtained for the time series when Skew Student-T distributed innovations are assumed. The VaR exceedance rates and their …

Persistent link: https://www.econbiz.de/10013474092

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

Persistent link: https://www.econbiz.de/10012604814

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - In: Journal of economic dynamics & control 146 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014478164

Parallel Bayesian inference for high-dimensional dynamic factor copulas

Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151

Persistent link: https://www.econbiz.de/10012054431

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

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