Bayesian time-varying quantile forecasting for value-at-risk in financial markets
Richard H. Gerlach; Cathy W. S. Chen; Nancy Y. C. Chan
| Year of publication: |
2011
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|---|---|
| Authors: | Gerlach, Richard H. ; Chen, Cathy W. S. ; Chan, Nancy Y. C. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 29.2011, 4, p. 481-492
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| Subject: | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Finanzmarkt | Financial market | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| 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/10009355672