Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility

DOI10.1080/14697688.2016.1192295zbMath1402.91913OpenAlexW2467242089MaRDI QIDQ4555071

Declan Walpole, Chao Wang, Richard H. Gerlach

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1192295

zbMATH Keywords

Markov chain Monte Carlo methodexpected shortfallCARE modelexpectilesrealized measures

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Related Items

Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution ⋮ Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

Uses Software

• CAViaR
• BayesDA
• bootstrap

Cites Work

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• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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