Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
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Publication:6574592
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)
thresholdout-of-sample forecastsvolatility forecastingadaptive Markov chain Monte Carlo methodsasymmetric realized GARCH model
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