A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

DOI10.1016/j.ejor.2013.07.008zbMath1305.91244OpenAlexW1979264100MaRDI QIDQ2255951

Yanyan Li

Publication date: 18 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/9283

zbMATH Keywords

Bayesian nonparametricsfinancerisk managementGARCH modelsvalue at riskDirichlet process mixtures

Mathematics Subject Classification ID

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) Nonparametric estimation (62G05) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (9)

Optimum attributes component test plans for \(k\)-out-of-\(n:F\) Weibull systems using prior information ⋮ A linearized value-at-risk model with transaction costs and short selling ⋮ A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Nonlinear manifold learning for early warnings in financial markets ⋮ Bayesian semiparametric double autoregressive modeling ⋮ A multivariate extension of a vector of two-parameter Poisson–Dirichlet processes ⋮ Particle learning for Bayesian semi-parametric stochastic volatility model ⋮ Bayesian semiparametric multivariate stochastic volatility with application

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A tutorial on Bayesian nonparametric models
• Bayesian semiparametric stochastic volatility modeling
• Bayesian semiparametric analysis for a single item maintenance optimization
• Conditional VaR estimation using Pearson's type IV distribution
• Bayesian estimation of the Gaussian mixture GARCH model
• Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• A Bayesian analysis of some nonparametric problems
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Sampling the Dirichlet Mixture Model with Slices
• Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• Marginal Likelihood and Bayes Factors for Dirichlet Process Mixture Models
• Bayesian Measures of Model Complexity and Fit
• Exact and approximate sum representations for the Dirichlet process
• Bayesian Density Estimation and Inference Using Mixtures
• Bayesian Analysis of Cancer Rates From SEER Program Using Parametric and Semiparametric Joinpoint Regression Models
• Deviance information criteria for missing data models

This page was built for publication: A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation