Browsing Discipline of Business Analytics by subject "Asymmetric Gaussian distribution"
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Bayesian Semi-parametric Expected Shortfall Forecasting in Financial Markets
Published 2012-01-01Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional ...Working Paper -
Semi-parametric Expected Shortfall Forecasting
Published 2014-04-01Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation ...Working Paper