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Flexible modeling of conditional distributions using smooth mixtures of asymmetric student T densities

Li, Feng; Villani, Mattias; Kohn, Robert - 2009

A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...

Persistent link: https://www.econbiz.de/10010320729

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Tail risk forecasting with semiparametric regression models by incorporating overnight information

Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512

Persistent link: https://www.econbiz.de/10015108416

Time-varying sparsity in dynamic regression models

Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793

Persistent link: https://www.econbiz.de/10010257660

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

Semiparametric conditional quantile models for financial returns and realized volatility

Žikeš, Filip; Jozef, Baruník - 2014

regression framework and rely on recently developed model-free measures of integrated variance, upside and downside semivariance …

Persistent link: https://www.econbiz.de/10010407475

Semi-parametric conditional quantile models for financial returns and realized volatility

Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226

Persistent link: https://www.econbiz.de/10011588557

A semiparametric nonlinear quantile regression model for financial returns

Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10011650231

Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482

Persistent link: https://www.econbiz.de/10014444685

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697