Modeling and predicting market risk with Laplace-Gaussian mixture distributions
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- Markus Haas & Stefan Mittnik & Marc Paolella, 2006. "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1145-1162.
References listed on IDEAS
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- Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013.
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- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Saissi Hassani, Samir & Dionne, Georges, 2021.
"The new international regulation of market risk: Roles of VaR and CVaR in model validation,"
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- Saissi Hassani, Samir & Dionne, Georges, 2021. "The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation," Working Papers 21-1, HEC Montreal, Canada Research Chair in Risk Management.
- Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
- Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009.
"Mixed Exponential Power Asymmetric Conditional Heteroskedasticity,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-32, May.
- Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE.
- BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007. "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE 2007097, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 07-15, HEC Montréal, Institut d'économie appliquée.
- Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
- Gel, Yulia R., 2010. "Test of fit for a Laplace distribution against heavier tailed alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 958-965, April.
- Kaldasch, Joachim, 2014.
"Evolutionary model of stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 449-462.
- Joachim Kaldasch, 2015. "Evolutionary Model of Stock Markets," Papers 1607.01248, arXiv.org.
- Mahmood Ul Hassan & Pär Stockhammar, 2016. "Fitting probability distributions to economic growth: a maximum likelihood approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1583-1603, July.
- Yining Chen, 2015. "Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 1-31, March.
- John Douglas (J.D.) Opdyke, 2007. "Comparing Sharpe ratios: So where are the p-values?," Journal of Asset Management, Palgrave Macmillan, vol. 8(5), pages 308-336, December.
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More about this item
Keywords
GARCH; hyperbolic distribution; kurtosis; Laplace distribution; mixture distributions; stock market returns;All these keywords.
JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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