A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Chao Wang, Richard Gerlach
| Year of publication: |
2024
|
|---|---|
| Authors: | Wang, Chao ; Gerlach, Richard |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 1, p. 40-57
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| Subject: | expected shortfall | Markov chain Monte Carlo | Realized-GARCH | threshold measurement equation | value-at-risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Messung | Measurement | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Risiko | Risk | Risikomanagement | Risk management | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3025 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014443184