Bayesian tail‐risk forecasting using realized GARCH (Q4620201)

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scientific article; zbMATH DE number 7015494
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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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