Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

DOI10.1002/for.1237zbMath1397.91594MaRDI QIDQ4687293

Cathy W. S. Chen, Edward M. H. Lin, Richard H. Gerlach, W. C. W. Lee

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1237

zbMATH Keywords

Markov chain Monte Carlo method; global financial crisis; generalized error distribution; skewed Student-\(t\); EGARCH model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

62F15: Bayesian inference