Search Results for author: Vica Tendenan

Found 1 papers, 0 papers with code

Tail risk forecasting using Bayesian realized EGARCH models

no code implementations12 Aug 2020 Vica Tendenan, Richard Gerlach, Chao Wang

Rigorous tail risk forecast evaluations show that the realized EGARCH models employing the standardized skewed Student-t distribution and incorporating sub-sampled realized range are favored, compared to a range of models.

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