Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

DOI10.1080/14697688.2018.1540880zbMath1428.62467arXiv1707.03715OpenAlexW2962820006WikidataQ128881005 ScholiaQ128881005MaRDI QIDQ5234329

Chao Wang, Richard H. Gerlach, Qi'an Chen

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.03715

zbMATH Keywords

value-at-riskMarkov Chain Monte Carloexpected shortfallsub-samplingrealized variancerealized rangerealized-GARCHtwo-sided Weibull

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Reliability and life testing (62N05)

Related Items (2)

Product representations for random variables with Weibull distributions and their applications ⋮ Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects

Uses Software

• CAViaR
• BayesDA
• DREAM

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