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Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model
In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over ti...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2018
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6014648/ https://www.ncbi.nlm.nih.gov/pubmed/29933383 http://dx.doi.org/10.1371/journal.pone.0198753 |