Extreme Value GARCH modelling with Bayesian Inference
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References listed on IDEAS
- 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.
- 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.
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Cited by:
- 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.
- Xin Zhao & Carl Scarrott & Les Oxley & Marco Reale, 2010. "Extreme value modelling for forecasting market crisis impacts," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 63-72.
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More about this item
Keywords
Extreme value distribution; dependency; Bayesian; MCMC; Return quantile;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- 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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