Zobrazeno 1 - 10
of 23
pro vyhledávání: '"LIN, EDWARD M.H."'
Bayesian estimation of realized GARCH-type models with application to financial tail risk management
Publikováno v:
In Econometrics and Statistics October 2023 28:30-46
Publikováno v:
In North American Journal of Economics and Finance November 2020 54
Publikováno v:
In International Journal of Production Economics October 2020 228
Publikováno v:
In International Review of Economics and Finance May 2018 55:273-284
Publikováno v:
Scandinavian Journal of Statistics, 2015 Mar 01. 42(1), 137-154.
Externí odkaz:
http://www.jstor.org/stable/24586772
Publikováno v:
In Computational Statistics and Data Analysis August 2014 76:194-209
Publikováno v:
In International Journal of Forecasting April-June 2012 28(2):384-399
Publikováno v:
In Computational Statistics and Data Analysis 2008 52(6):2990-3010
Methods for Bayesian testing and assessment of dynamic quantile forecasts are proposed. Specifically, Bayes factor analogues of popular frequentist tests for independence of violations from, and for correct coverage of a time series of, quantile fore
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______293::523139cb72e549efa7b887da13a17ae6
https://hdl.handle.net/2123/11816
https://hdl.handle.net/2123/11816
