Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (Q4555071)
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scientific article; zbMATH DE number 6981187
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| English | Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility |
scientific article; zbMATH DE number 6981187 |
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Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility (English)
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19 November 2018
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CARE model
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realized measures
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expected shortfall
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expectiles
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Markov chain Monte Carlo method
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0.8473877310752869
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0.8325522541999817
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0.8201513886451721
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0.8021577000617981
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0.7678340077400208
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