An ABC approach for CAViaR models with asymmetric kernels

DOI10.1080/00949655.2020.1727477OpenAlexW3009039215MaRDI QIDQ5107780

Georgios Tsiotas

Publication date: 28 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2020.1727477

zbMATH Keywords

forecastingMCMCapproximate Bayesian computationlikelihood-free inferenceloss functionsCAViaR models

Mathematics Subject Classification ID

Statistics (62-XX)

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