Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
Richard H. Gerlach,
Cathy W. S. Chen () and
Nancy Y. C. Chan
Journal of Business & Economic Statistics, 2011, vol. 29, issue 4, 481-492
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Journal Article: Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets (2011)
Working Paper: Bayesian time-varying quantile forecasting for Value-at-Risk in financial markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:29:i:4:y:2011:p:481-492
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