Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets
Year of publication: |
2012-01
|
---|---|
Authors: | Chen, Cathy W.S ; Gerlach, Richard ; Lin, Liou-Yan |
Institutions: | Business School, University of Sydney |
Subject: | semi-parametric | Expected shortfall | Asymmetric Gaussian distribution | Nonlinear | CARE model |
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