Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Year of publication: |
2011-03
|
---|---|
Authors: | Chen, Cathy W.S ; Gerlach, Richard ; Lee, Wcw ; Lin, Edward M.H. |
Institutions: | Business School, University of Sydney |
Subject: | global nancial crisis | market risk charge | Skewed Student-t | Value-at-Risk | Markov chainMonte Carlo method | generalized error distribution | EGARCH model |
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