Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Chao Wang, Qian Chen and Richard Gerlach
| Year of publication: |
2019
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|---|---|
| Authors: | Wang, Chao ; Chen, Qian ; Gerlach, Richard |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 6, p. 1017-1042
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| Subject: | Expected shortfall | Markov Chain Monte Carlo | Realized range | Realized variance | Realized-GARCH | Sub-sampling | Two-sided Weibull | Value-at-risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1540880 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194739