Bayesian modeling and forecasting of value-at-risk via threshold realized volatility (Q6574592)
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scientific article; zbMATH DE number 7883123
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| English | Bayesian modeling and forecasting of value-at-risk via threshold realized volatility |
scientific article; zbMATH DE number 7883123 |
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Bayesian modeling and forecasting of value-at-risk via threshold realized volatility (English)
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18 July 2024
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adaptive Markov chain Monte Carlo methods
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asymmetric realized GARCH model
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out-of-sample forecasts
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threshold
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volatility forecasting
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