Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models
DOI10.4310/SII.2017.V10.N3.A9zbMATH Open1388.62053MaRDI QIDQ1748665FDOQ1748665
Authors: Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe 
Publication date: 14 May 2018
Published in: Statistics and Its Interface (Search for Journal in Brave)
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asymmetric LaplaceMarkov chain Monte Carlo methodsvalue-at-riskvolatility forecastingnonlinear time series modelrealized volatility modelssecond-order logistic function
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cited In (9)
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
- An ABC approach for CAViaR models with asymmetric kernels
- Value at risk forecasting of gold price: a comparison between the GARCH and LST-GARCH models
- Value-at-risk under market shifts through highly flexible models
- Bayesian forecasting for financial risk management, pre and post the global financial crisis
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- On double hysteretic heteroskedastic model
- Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
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