Bayesian expected shortfall forecasting incorporating the intraday range
Year of publication: |
2016
|
---|---|
Authors: | Gerlach, Richard ; Chen, Cathy W. S. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 1, p. 128-158
|
Subject: | asymmetric Gaussian distribution | CARE model | expected shortfall | Markov chain Monte Carlo method | nonlinear | Theorie | Theory | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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