Semi-parametric Bayesian tail risk forecasting...

Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility

Gerlach, Richard, Walpole, Declan, Wang, Chao
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2016.1192295
Date:
July, 2016
File:
PDF, 584 KB
english, 2016
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