Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Year of publication: |
January 28, 2018
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Authors: | Chen, Liyuan ; Zerilli, Paola ; Baum, Christopher F. |
Publisher: |
Chestnut Hill, MA, USA : Boston College |
Subject: | Value-at-Risk | Conditional Value-at-Risk | Asymmetric Laplace distribution | Stochastic volatility model | Bayesian Markov Chain Monte Carlo | leverage effect | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Schätzung | Estimation |
Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
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Series: | Boston College working papers in economics. - Chestnut Hill, MA, ZDB-ID 2122341-5. - Vol. 953 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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