Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
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- Richard H. Gerlach & Cathy W. S. Chen & Nancy Y. C. Chan, 2011. "Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 481-492, October.
- Chan, Nancy Y. C. & Chen, Cathy W.S. & Gerlach, Richard, 2009. "Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets," Working Papers 9 OMEWP, University of Sydney Business School, Discipline of Business Analytics.
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- repec:eee:ecmode:v:64:y:2017:i:c:p:48-59 is not listed on IDEAS
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