Gerlach, Richard; Chen, Cathy WS; Lin, Edward MH; Lee, Wcw - Business School, University of Sydney - 2011
Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus standard and nonlinear stochastic volatility models, most considering four...
