Extreme Value GARCH modelling with Bayesian Inference
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References listed on IDEAS
- Scharth, Marcel & Medeiros, Marcelo C., 2009.
"Asymmetric effects and long memory in the volatility of Dow Jones stocks,"
International Journal of Forecasting,
Elsevier, vol. 25(2), pages 304-327.
- Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).
- Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
- McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
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- Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
More about this item
KeywordsExtreme value distribution; dependency; Bayesian; MCMC; Return quantile;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-05 (All new papers)
- NEP-ECM-2009-04-05 (Econometrics)
- NEP-ETS-2009-04-05 (Econometric Time Series)
- NEP-ORE-2009-04-05 (Operations Research)
- NEP-RMG-2009-04-05 (Risk Management)
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