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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005137171
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
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A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - Tinbergen Instituut - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10011257126
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10011257409