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

Aymeric Thibault 1 Pascal Bondon 1
1 L2S - Laboratoire des signaux et systèmes
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Conference papers
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https://hal-centralesupelec.archives-ouvertes.fr/hal-01578470
Contributor : Pascal Bondon <>
Submitted on : Tuesday, August 29, 2017 - 11:44:31 AM
Last modification on : Friday, December 20, 2019 - 11:48:04 AM

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  • HAL Id : hal-01578470, version 1

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CENTRALESUPELEC | CNRS | L2S | SUP_LSS | SUP_SIGNAUX | UNIV-PARIS-SACLAY

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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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