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Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility
Chen, Cathy W. S.; Watanabe, Toshiaki - In: Applied Stochastic Models in Business and Industry 35 (2018) 3, pp. 747-765
Persistent link: https://www.econbiz.de/10012272414
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Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time ‐varying correlations
Chen, Cathy W. S.; Than‐Thi, Hong; So, Mike Ka-pui; … - In: Applied Stochastic Models in Business and Industry 35 (2019) 6, pp. 1301-1321
Persistent link: https://www.econbiz.de/10012272490