Bayesian expected shortfall forecasting incorporating the intraday range
Richard Gerlach, Cathy W.S. Chen
| Year of publication: |
2016
|
|---|---|
| Authors: | Gerlach, Richard ; Chen, Cathy W. S. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 1, p. 128-158
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| Subject: | asymmetric Gaussian distribution | CARE model | expected shortfall | Markov chain Monte Carlo method | nonlinear | Theorie | Theory | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588546