Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Year of publication: |
2019
|
---|---|
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
|
Subject: | Bayesian analysis | CARR model | Generalised beta type II distribution | Realised range | Return model | Tail conditional VaR | VaR | Bayes-Statistik | Bayesian inference | Theorie | Theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätzung | Estimation |
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