Work

Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility

Year: 2018

Type: article

Source: Applied Stochastic Models in Business and Industry

DOI: 10.1002/asmb.2395

Authors: Cathy W.S. Chen, Toshiaki Watanabe

Institutions: Feng Chia University, Hitotsubashi University, Institute of Economic Research, Hitotsubashi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Ministry of Education, Culture, Sports, Science and Technology, Ministry of Science and Technology, Taiwan, Japan Society for the Promotion of Science

Awards: New developments in high dimensional data modeling and statistical risk analysis, G532730222, G6527604861, Modelling and Forecasting Smooth Transition Realized Volatility, Multivariate Hysteretic Autoregressive Model: a Bayesian Approach, Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data, Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

OpenAlex ID: W2890982205

FWCI: 1.65

Cites: 42

Cited by: 21

Related to: 10