Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models
type: Item
instance of: scholarly article
title: Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models
zbMATH Open document ID: 1388.62053
author: Cathy W. S. Chen
author: Monica M. C. Weng
author: Toshiaki Watanabe
published in: Statistics and Its Interface
publication date: 2018-05-14T00:00:00Z
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6868073
zbMATH Keywords: asymmetric Laplace
zbMATH Keywords: nonlinear time series model
zbMATH Keywords: second-order logistic function
zbMATH Keywords: Markov chain Monte Carlo methods
zbMATH Keywords: value-at-risk
zbMATH Keywords: volatility forecasting
zbMATH Keywords: realized volatility models
MaRDI profile type: Publication
DOI: 10.4310/SII.2017.V10.N3.A9
description: scientific article; zbMATH DE number 6868073