Bayesian tail‐risk forecasting using realized GARCH (Q4620201)
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scientific article; zbMATH DE number 7015494
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| English | Bayesian tail‐risk forecasting using realized GARCH |
scientific article; zbMATH DE number 7015494 |
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Bayesian tail‐risk forecasting using realized GARCH (English)
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8 February 2019
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realized volatility
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GARCH
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value at risk
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CVaR
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expected shortfall
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high-frequency data
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risk management
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0.9289713
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0.92163056
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0.89191604
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0.8864295
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0.8856183
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