Bayesian forecasting for financial risk management, pre and post the global financial crisis

DOI10.1002/FOR.1237MaRDI QIDQ4687293zbMATHOpenAlexFDO

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

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 methodglobal financial crisisgeneralized error distributionskewed Student-\(t\)EGARCH model

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(18)

• Threshold variable selection of asymmetric stochastic volatility models
• Bayesian tail risk interdependence using quantile regression
• A quasi-Bayesian model averaging approach for conditional quantile models
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• An ABC approach for CAViaR models with asymmetric kernels
• An approach for measuring corporation financial stability by econophysics and Bayesian method
• Comparing volatility forecasting models during the global financial crisis
• A dominance approach for comparing the performance of VaR forecasting models
• Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models
• Semiparametric GARCH via Bayesian Model Averaging
• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
• Forecasting the daily time-varying beta of European banks during the crisis period: comparison between GARCH models and the Kalman filter
• Multi-agent-based VaR forecasting
• On double hysteretic heteroskedastic model
• Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• The application of Bayesian inference under SAFE model

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