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Persistent link: https://www.econbiz.de/10000909193
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...
Persistent link: https://www.econbiz.de/10011979983