Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches
Casto Sigauke
Year of publication: |
December 2016
|
---|---|
Authors: | Sigauke, Casto |
Published in: |
Economics, management and financial markets. - New York, NY : Addleton Acad. Publ., ISSN 1938-212X, ZDB-ID 2270776-1. - Vol. 11.2016, 4, p. 33-48
|
Subject: | Bayes | GARCH | portfolio management | Student-t distribution | risk management | Theorie | Theory | Volatilität | Volatility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Risiko | Risk |
Saved in:
freely available
Saved in favorites
Similar items by subject
-
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero, (2021)
-
Riedel, Christoph, (2015)
-
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng, (2023)
- More ...