This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the …

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications …. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a … function of some factors. Such regression is called CVaR (superquantile) regression. The main statement of this paper is: CVaR …

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment …

over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …