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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

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Bibliographic Details
Other Authors: Gerlach, Richard H. [Other] • Lin, Edward M.H. [Other] • Wayne [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2015]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus standard and nonlinear stochastic volatility models, most considering four error probability distributions: Gaussian, Student-t, skewed-t and generalized error distribution. Adaptive Markov chain Monte Carlo methods are employed in estimation and forecasting. A portfolio of four Asia-Pacific stock markets is considered. Two forecasting periods are evaluated in light of the recent global financial crisis. Results reveal that: (i) GARCH models out-performed stochastic volatility models in almost all cases; (ii) asymmetric volatility models were clearly favoured pre-crisis; while at the 1% level during and post-crisis, for a 1 day horizon, models with skewed-t errors ranked best, while IGARCH models were favoured at the 5% level; (iii) all models forecasted VaR less accurately and anti-conservatively post-crisis
Item Description: In: Journal of Forecasting, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 23, 2011 erstellt
Physical Description: 1 Online-Ressource (34 p)
DOI: 10.2139/ssrn.1815603
Access: Open Access