Bayesian tail‐risk forecasting using realized GARCH

DOI10.1002/ASMB.2237MaRDI QIDQ4620201zbMATH OpenOpenAlexFDO

Authors Christian Contino, Richard Gerlach

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2237

zbMATH Keywords

expected shortfallGARCHrealized volatilityvalue at riskrisk managementhigh-frequency dataCVaR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

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Cited in

(16)

• Forecasting the daily time-varying beta of European banks during the crisis period: comparison between GARCH models and the Kalman filter
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
• Bayesian analysis of tail asymmetry based on a threshold extreme value model
• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Multiple measures realized GARCH models
• Bayesian forecasting for financial risk management, pre and post the global financial crisis
• Stochastic variational inference for GARCH models
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
• Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
• Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
• Tail-risk protection trading strategies
• Forecasting price of financial market crash via a new nonlinear potential GARCH model
• A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
• Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.

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