Semi-parametric expected shortfall forecasting in financial markets

DOI10.1080/00949655.2016.1246549OpenAlexW2543861543MaRDI QIDQ5106839

Cathy W. S. Chen, Richard H. Gerlach

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2016.1246549

zbMATH Keywords

Markov chain Monte Carlo methodnonlinearexpected shortfallCARE modelsemi-parametricasymmetric Gaussian distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution

Uses Software

• CAViaR
• BayesDA

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