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Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management

Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management
Digital文書・図像類
CHEN, Cathy W.S., WENG, Monica M.C., 渡部, 渡部Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-12-08
Available onlineOther Libraries in Japan
  • Subject Heading...ition function Backtesting Markov chain Monte Carlo meth...

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
Paper文書・図像類
Takahashi, Makoto, Watanabe, Toshiaki, Omori, Yasuhiro日本経済国際共同センター2014-02Discussion paper series. CIRJE-FCIRJE-F-921
Other Libraries in Japan
  • Subject HeadingBacktesting Bias correction Expected shor...

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range
Digital文書・図像類
Chen, Cathy W. S., Gerlach, Richard, Hwang, Bruce B. K., McAleer, MichaelInstitute of Economic Research, Kyoto University2011-05-18KIER Discussion Paper775
Available onlineOther Libraries in Japan
  • Subject Heading...ntra-day range backtesting Markov chain Monte Carlo

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