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A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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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 - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011302625
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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018
Persistent link: https://www.econbiz.de/10011891048
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Semiparametric conditional quantile models for financial returns and realized volatility
Žikeš, Filip; Jozef, Baruník - 2014
regression framework and rely on recently developed model-free measures of integrated variance, upside and downside semivariance …
Persistent link: https://www.econbiz.de/10010407475
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Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
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A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10011650231
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129
Persistent link: https://www.econbiz.de/10012172264