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Multivariate Asset Return Prediction with Mixture Models
Paolella, Marc S.
reliable to estimate, unlike the majority of multivariate GARCH models in existence. Equally important, it provides a clear … improvement over use of GARCH models feasible for use with a large number of assets, such as CCC, DCC, and their extensions, with …
Persistent link: https://www.econbiz.de/10010680440
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
BRODA, Simon A.; PAOLELLA, Marc S. - 2006
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … manuscript shows how Independent Component Analysis can be used to estimate the Generalized Orthogonal GARCH model in a fraction …
Persistent link: https://www.econbiz.de/10005227621
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Alright : asymmetric LaRge-scale (I)GARCH with Hetero-Tails
Paolella, Marc S.; Polak, Pawel - In: International review of economics & finance : IREF 40 (2015), pp. 282-297
Persistent link: https://www.econbiz.de/10011573592
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
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Stable Mixture GARCH Models
BRODA, Simon A.; HAAS, Markus; KRAUSE, Jochen; …
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010680448
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ALRIGHT : asymmetric LaRge-Scale (I)GARCH with hetero-tails
Paolella, Marc S.; Polak, Pawel - 2010
distribution. The model is extended to support a CCC-(I)GARCH structure and demonstrated by modeling and forecasting the return …
Persistent link: https://www.econbiz.de/10003980003
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Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
Salado, Alejandro Iván Aguirre; Huerta, Humberto Vaquera; … - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 1, pp. 177-205
combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH …) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to … obtain uncorrelated residuals, which were later used for the analysis of extreme values. The GARCH, EGARCH and GJR-GARCH …
Persistent link: https://www.econbiz.de/10010823163
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011313230
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010237679