Loss-based Bayesian sequential prediction of Value-at-Risk with a long-memory and non-linear realized volatility model
Rangika Peiris, Minh-Ngoc Tran, Chao Wang, and Richard Gerlach
| Year of publication: |
2025
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|---|---|
| Authors: | Peiris, Rangika ; Minh-Ngoc Tran ; Wang, Chao ; Gerlach, Richard |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 4, Art.-No. nbaf017, p. 1-26
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| Subject: | HAR model | recurrent neural network | quantile score | sequential Monte Carlo | generalized Bayesian method | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaf017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015459546