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Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Structured Multivariate Volatility Models

Caporin, Massimiliano - 2009

This paper proposes structured parametrizations for multivariate volatility models, which use spatial weight matrices … models as well as for Stochastic- and Realized-Volatility models. The paper also discusses how to construct spatial weight …

Persistent link: https://www.econbiz.de/10012719984

Proximity-Structured Multivariate Volatility Models

Caporin, Massimiliano - 2013

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension …

Persistent link: https://www.econbiz.de/10013095932

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …