Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329)
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scientific article; zbMATH DE number 7110452
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution |
scientific article; zbMATH DE number 7110452 |
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Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (English)
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26 September 2019
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realized-GARCH
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two-sided Weibull
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realized variance
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realized range
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sub-sampling
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Markov Chain Monte Carlo
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value-at-risk
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expected shortfall
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