Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Cathy W.S. Chen, Cindy T.H. Chien
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Cathy W. S. ; Chien, Cindy T. H. |
| Subject: | Expected shortfall | Hysteretic effect | Markov chain Monte Carlo method | Murphy diagrams | Nonlinear model | Skew Student's t distribution | Value-at-risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Volatilität | Volatility | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10563-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144246