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Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range
Company: Journal of Financial Econometrics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 835
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-17-2014
Publisher: Administrator
Summary
The conditional autoregressive expectile class of model, used to implicitly model ES, is generalized to incorporate information on the intraday range. An asymmetric Gaussian density model error formulation allows a likelihood to be developed that leads to direct estimation and one-step-ahead forecasts of expectiles and, subsequently, of ES. Adaptive Markov chain Monte Carlo sampling schemes are employed for estimation, while their performance is assessed via a simulation study. The proposed models compare favorably with a large range of competitors in an empirical study forecasting seven financial return series over a 10-year period.
Author(s)
Gerlach, Richard Sign in to follow this author
Chen, Cathy W. S. Sign in to follow this author
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