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

DOI10.1002/FOR.1237zbMATH Open1397.91594OpenAlexW2334280011MaRDI QIDQ4687293FDOQ4687293

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

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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)

Cited In (11)

• Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
• Bayesian tail risk interdependence using quantile regression
• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
• An ABC approach for CAViaR models with asymmetric kernels
• An approach for measuring corporation financial stability by econophysics and Bayesian method
• Semiparametric GARCH via Bayesian Model Averaging
• Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
• The application of Bayesian inference under SAFE model
• On double hysteretic heteroskedastic model
• Threshold variable selection of asymmetric stochastic volatility models
• A quasi-Bayesian model averaging approach for conditional quantile models

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