Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
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Recommendations
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Cites work
- A Tale of Two Time Scales
- Asymmetric Least Squares Estimation and Testing
- Bayesian data analysis.
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Coherent measures of risk
- Equation of state calculations by fast computing machines
- Estimating variance from high, low and closing prices
- Estimation of multiple period expected shortfall and median shortfall for risk management
- Evaluating value-at-risk models via quantile regression
- Forecasting risk via realized GARCH, incorporating the realized range
- Higher order elicitability and Osband's principle
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- Making and evaluating point forecasts
- Measuring volatility with the realized range
- Monte Carlo sampling methods using Markov chains and their applications
- On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function
- On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
- Realized range-based estimation of integrated variance
- The Asymptotic Distribution of the Range of Sums of Independent Random Variables
- Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
Cited in
(6)- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons
- Bayesian tail‐risk forecasting using realized GARCH
- Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
- A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
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