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Accurate value-at-risk forecasting based on the normal-GARCH model

Hartz, Christoph; Mittnik, Stefan; Paolella, Marc - In: Computational Statistics & Data Analysis 51 (2006) 4, pp. 2295-2312

Persistent link: https://www.econbiz.de/10005172782

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - In: Computational Statistics & Data Analysis 53 (2009) 6, pp. 2129-2154

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

Persistent link: https://www.econbiz.de/10005130726

Saddlepoint approximations for the doubly noncentral t distribution

Broda, Simon; Paolella, Marc S. - In: Computational Statistics & Data Analysis 51 (2007) 6, pp. 2907-2918

Persistent link: https://www.econbiz.de/10005130622

Bias-adjusted estimation in the ARX(1) model

Broda, Simon; Carstensen, Kai; Paolella, Marc S. - In: Computational Statistics & Data Analysis 51 (2007) 7, pp. 3355-3367

Persistent link: https://www.econbiz.de/10005131092

Computing moments of ratios of quadratic forms in normal variables

Paolella, Marc S. - In: Computational Statistics & Data Analysis 42 (2003) 3, pp. 313-331

Persistent link: https://www.econbiz.de/10005118323