Forecasting Value-at-Risk and Expected ShortfallUsing Range CARE Models
碩士 === 逢甲大學 === 統計與精算所 === 100 === This thesis considers the conditional autoregressive expectiles (CARE) with the intra-day high-low price range. Inference, quantile forecasting and model comparison for CARE is investigated. A Bayesian method to forecast Value-at-Risk (VaR) and Expected Shortfall (...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/01029648902839367188 |