Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Richard Gerlach and Chao Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Gerlach, Richard ; Wang, Chao |
| Subject: | expectile | realized measure | Markov Chain Monte Carlo | Value-at-Risk | Expected Shortfall | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012878188