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Forecasting Intraday Risk Measures using Multiplicative Component GARCH Model and Multimodal Distributions

Aymeric Thibault
  • Function : Author
Laboratoire des signaux et systèmes
Pascal Bondon
Laboratoire des signaux et systèmes
CV

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Statistics [stat] Statistics Theory [stat.TH] Engineering Sciences [physics] Signal and Image processing

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https://hal-centralesupelec.archives-ouvertes.fr/hal-01578470

Submitted on : Tuesday, August 29, 2017-11:44:31 AM

Last modification on : Friday, March 24, 2023-2:53:05 PM

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hal-01578470 , version 1 (29-08-2017)

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  • HAL Id : hal-01578470 , version 1

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Aymeric Thibault, Pascal Bondon. Forecasting Intraday Risk Measures using Multiplicative Component GARCH Model and Multimodal Distributions. International Work-Conference on Time Series, Sep 2017, Granada, Spain. pp.249-253. ⟨hal-01578470⟩

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CNRS SUP_LSS SUP_SIGNAUX CENTRALESUPELEC UNIV-PARIS-SACLAY GS-ENGINEERING GS-COMPUTER-SCIENCE
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