Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models

DOI10.4310/SII.2017.V10.N3.A9zbMath1388.62053MaRDI QIDQ1748665

Cathy W. S. Chen, Toshiaki Watanabe, Monica M. C. Weng

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

value-at-riskMarkov chain Monte Carlo methodsvolatility forecastingasymmetric Laplacenonlinear time series modelrealized volatility modelssecond-order logistic function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

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