Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Year of publication: |
2011-03
|
---|---|
Authors: | Gerlach, Richard ; Chen, Cathy WS ; Lin, Edward MH ; Lee, Wcw |
Institutions: | Business School, University of Sydney |
Subject: | EGARCH model | generalized error distribution | Markov chainMonte Carlo method | Value-at-Risk | Skewed Student-t | market risk charge | global nancial crisis |
-
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W.S, (2011)
-
Improved VaR forecasts using extreme value theory with the Realized GARCH model
Paul, Samit, (2017)
-
Forecasting gains by using extreme value theory with realised GARCH filter
Paul, Samit, (2021)
- More ...
-
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Chen, Cathy W.S, (2011)
-
Semi-parametric Expected Shortfall Forecasting
Chen, Cathy W.S., (2014)
-
Bayesian Assessment of Dynamic Quantile Forecasts
Chen, Cathy W.S., (2014)
- More ...