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

DOI10.1002/for.1237zbMath1397.91594OpenAlexW2334280011MaRDI QIDQ4687293

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

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

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