Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models (Q1748665)
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scientific article; zbMATH DE number 6868073
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| English | Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models |
scientific article; zbMATH DE number 6868073 |
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Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models (English)
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14 May 2018
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asymmetric Laplace
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nonlinear time series model
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second-order logistic function
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Markov chain Monte Carlo methods
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value-at-risk
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volatility forecasting
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realized volatility models
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0.8156129121780396
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0.8143543004989624
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0.8002030253410339
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0.7970327138900757
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0.7962334156036377
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