Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
DOI10.1080/03610918.2016.1235188zbMATH Open1385.62031OpenAlexW2526239836MaRDI QIDQ4607381FDOQ4607381
Authors: Xinxia Yang, Ratthachat Chatpatanasiri, Pairote Sattayatham 
Publication date: 13 March 2018
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2016.1235188
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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)
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- Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
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Cited In (5)
- VaR/CVaR estimation under stochastic volatility models
- Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
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