Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
暂无分享,去创建一个
Cathy W. S. Chen | Edward M. H. Lin | R. Gerlach | Cathy W. S. Chen | Richard H. Gerlach | Edward M.H. Lin | Wayne | Cathy W. S. Chen | MH Edward | Lin | And Wcw Lee
[1] Paul H. Kupiec,et al. Techniques for Verifying the Accuracy of Risk Measurement Models , 1995 .
[2] Stephen Gray. Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process , 1996 .
[3] Ioannis D. Vrontos,et al. Full Bayesian Inference for GARCH and EGARCH Models , 2000 .
[4] P. Manimaran,et al. Modelling Financial Time Series , 2006 .
[5] M. McAleer,et al. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? , 2010 .
[6] S. Satchell,et al. Forecasting Volatility in Financial Markets : A Review , 2004 .
[7] Cathy W. S. Chen,et al. Volatility Forecasting with Double Markov Switching GARCH Models , 2009 .
[8] Cathy W. S. Chen,et al. HEAVY‐TAILED‐DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES , 2008 .
[9] R. Chou,et al. ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .
[10] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[11] Stephen L Taylor,et al. Modelling Financial Time Series , 1987 .
[12] S. Taylor. Financial Returns Modelled by the Product of Two Stochastic Processes , 1961 .
[13] Peter F. Christoffersen. Evaluating Interval Forecasts , 1998 .
[14] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[15] B. Hansen. Autoregressive Conditional Density Estimation , 1994 .
[16] N. Metropolis,et al. Equation of State Calculations by Fast Computing Machines , 1953, Resonance.
[17] Philippe Jorion. Value at risk: the new benchmark for controlling market risk , 1996 .
[18] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[19] Cathy W. S. Chen,et al. On a threshold heteroscedastic model , 2006 .
[20] Michael McAleer,et al. Single Index and Portfolio Models for Forecasting Value-at-Risk Thresholds * , 2008 .
[21] Kin Lam,et al. A threshold stochastic volatility model , 2002 .
[22] W. K. Hastings,et al. Monte Carlo Sampling Methods Using Markov Chains and Their Applications , 1970 .
[23] H. Iemoto. Modelling the persistence of conditional variances , 1986 .
[24] Michael McAleer,et al. Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model , 2008 .
[25] Michael McAleer,et al. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range , 2011 .
[26] Cathy W. S. Chen,et al. BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS , 1995 .
[27] Philippe Jorion,et al. Fallacies about the effects of market risk management systems , 2002 .
[28] J. Zakoian. Threshold heteroskedastic models , 1994 .
[29] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .