Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Jennifer So-Kuen Chan, Kok-Haur Ng, Rachel Ragell
| Year of publication: |
2019
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|---|---|
| Authors: | Chan, Jennifer So-Kuen ; Kok Haur Ng ; Ragell, Rachel |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 61.2019, p. 188-212
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| Subject: | Bayesian analysis | CARR model | Generalised beta type II distribution | Realised range | Return model | Tail conditional VaR | VaR | Theorie | Theory | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2019.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012205409