Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models
| Autor: | Cathy W. S. Chen, Toshiaki Watanabe, Monica M. C. Weng |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Heteroscedasticity 050208 finance Applied Mathematics 05 social sciences Bayesian probability Markov chain Monte Carlo Nonlinear time series model 01 natural sciences 010104 statistics & probability symbols.namesake 0502 economics and business Econometrics symbols 0101 mathematics Value at risk Mathematics |
| Zdroj: | Statistics and Its Interface. 10:451-470 |
| ISSN: | 1938-7997 1938-7989 |
| DOI: | 10.4310/sii.2017.v10.n3.a9 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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