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Citations for "A new class of multivariate skew densities, with application to GARCH models"

by BAUWENS, Luc & LAURENT, Sébastien

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  1. John Galbraith & Dongming Zhu, 2009. "A Generalized Asymmetric Student-T Distribution With Application To Financial Econometrics," Departmental Working Papers 2009-02, McGill University, Department of Economics.
  2. Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2016. "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets," Working Papers 2016:2, Lund University, Department of Economics, revised 02 Feb 2016.
  3. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  4. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  5. Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
  7. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
  8. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CARF F-Series CARF-F-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  9. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
  10. Riccardo Borgoni & Piero Quatto & Giorgio Somà & Daniela de Bartolo, 2007. "A Geostatistical Approach to Define Guidelines for Radon Prone Area Identification," Working Papers 20071102, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  11. Dongming Zhu & John Galbraith, 2009. "Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution," CIRANO Working Papers 2009s-24, CIRANO.
  12. Zhu, Dongming & Galbraith, John W., 2011. "Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 765-778, September.
  13. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  15. GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," CORE Discussion Papers 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Matteo Pelagatti, 2007. "Modelling good and bad volatility," Working Papers 20071101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  18. Balázs Égert & Evžen Kocenda, 2007. "Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data," William Davidson Institute Working Papers Series wp861, William Davidson Institute at the University of Michigan.
  19. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
  20. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  21. Fantazzini, Dean, 2008. "An Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 10(2), pages 91-137.
  22. Michal Kaut & Stein Wallace, 2011. "Shape-based scenario generation using copulas," Computational Management Science, Springer, vol. 8(1), pages 181-199, April.
  23. Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions," Econometrics 0403001, EconWPA.
  24. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
  25. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  26. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427 Edward Elgar Publishing.
  27. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  28. Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," Caepr Working Papers 2010-010, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  29. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  30. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  31. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.
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