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Density and Risk Prediction with Non-Gaussian COMFORT Models
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Outgoing claims: the papers this work cites, builds on, or argues with.
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The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
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COMFORT: A common market factor non-Gaussian returns model
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
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Asymmetric laplace laws and modeling financial data
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Partially Adaptive Estimation of Regression Models via the Generalized T Distribution
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EM-based maximum likelihood parameter estimation for multivariate generalized hyperbolic distributions with fixed λ
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Time Series Analysis: Theory and Practice 2
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New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model
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Value-at-Risk Prediction: A Comparison of Alternative Strategies
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The Generalized Hyperbolic Skew Student's t-Distribution
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Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
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Tests of Conditional Predictive Ability
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION
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Dynamic Conditional Correlation
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A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
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Quantitative Risk Management: Concepts, Techniques, and Tools
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Regularized estimation of large covariance matrices
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Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
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Hyperbolic Distributions in Finance
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Ten Things You Should Know about the Dynamic Conditional Correlation Representation
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Asymmetry and Leverage in Conditional Volatility Models
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The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Analysis and Prediction of Financial Stock Risk Value Based On Improved FAST-ICA Algorithm and GARCH Model
inferred← citeshttps://doi.org/10.1080/14697688.2023.2301419openalex-snapshot
Dynamic currency hedging with non-Gaussianity and ambiguity
inferred← citeshttps://doi.org/10.1109/telepe64216.2024.00072openalex-snapshot
Construction of Resource Prediction and Early Warning Model in Intelligent Operation and Maintenance of Data Assets Based on Time Series Analysis
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