Bayesian Forecasting for Financial Risk
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Cathy W.S. Chen; Richard Gerlach; Edward M. H. Lin; W.C.W. Lee
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Article
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2011
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John Wiley and Sons
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English
⚖ 339 KB
👁 1 views
## ABSTRACT Value‐at‐risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models is compared, including standard, threshold nonlinear and Markov switching generalized autoregressive conditional heteroskedasticity (GARCH) specifications, plus standard an