Bayesian quantile forecasting via the realized hysteretic GARCH model
Cathy W.S. Chen, Edward M.H. Lin, Tara F.J. Huang
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Cathy W. S. ; Lin, Edward M. H. ; Huang, Tara F. J. |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 7, p. 1317-1337
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| Subject: | expected shortfall | hysteretic GARCH model | Markov chain Monte Carlo method | realized volatility | threshold GARCH model | value at risk | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikomaß | Risk measure | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2876 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465697