Bayesian modeling and forecasting of value-at-risk via threshold realized volatility

DOI10.1002/ASMB.2395MaRDI QIDQ6574592FDOQ6574592

Authors Cathy W. S. Chen, Toshiaki Watanabe 

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

thresholdout-of-sample forecastsvolatility forecastingadaptive Markov chain Monte Carlo methodsasymmetric realized GARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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