Tail risk forecasting of realized volatility CAViaR models
Cathy W.S. Chen, Hsiao-Yun Hsu, Toshiaki Watanabe
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Cathy W. S. ; Hsu, Hsiao-Yun ; Watanabe, Toshiaki |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 51.2023, p. 1-8
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| Subject: | Realized volatility | Bayesian MCMC methods | CAViaR model | Expected shortfall | Generalized autoregressive score (GAS) model | Heterogeneous autoregressive (HAR) model | Value-at-risk | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Kapitaleinkommen | Capital income | Bayes-Statistik | Bayesian inference | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103326 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304842