Matches in SemOpenAlex for { <https://semopenalex.org/work/W2276500586> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2276500586 abstract "To allow for a higher degree of flexibility in model parameters, we propose a general and time-varying nonlinear smooth transition (ST) heteroskedastic model with a second-order logistic function of varying speed in the mean and variance. This paper evaluates the performance of Value-at-Risk (VaR) measures in a class of risk models, specially focusing on three distinct ST functions with GARCH structures: first- and second-order logistic functions, and the exponential function. The likelihood function is non-differentiable in terms of the threshold values and delay parameter. We employ Bayesian Markov chain Monte Carlo sampling methods to update the estimates and quantile forecasts. The proposed methods are illustrated using simulated data and an empirical study. We estimate VaR forecasts for the proposed models alongside some competing asymmetric models with skew and fat-tailed error probability distributions, including realized volatility models. To evaluate the accuracy of VaR estimates, we implement two loss functions and three backtests. The results show that the ST model with a second-order logistic function and skew Student’s t error is a worthy choice at the 1% level, when compared to a range of existing alternatives." @default.
- W2276500586 created "2016-06-24" @default.
- W2276500586 creator A5030640403 @default.
- W2276500586 creator A5052915179 @default.
- W2276500586 creator A5071565517 @default.
- W2276500586 date "2015-12-08" @default.
- W2276500586 modified "2023-09-26" @default.
- W2276500586 title "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management" @default.
- W2276500586 cites W1516216243 @default.
- W2276500586 cites W1966626090 @default.
- W2276500586 cites W1970694313 @default.
- W2276500586 cites W1977970167 @default.
- W2276500586 cites W1986236078 @default.
- W2276500586 cites W1999996900 @default.
- W2276500586 cites W2006430387 @default.
- W2276500586 cites W2007069447 @default.
- W2276500586 cites W2013109882 @default.
- W2276500586 cites W2018389776 @default.
- W2276500586 cites W2059477555 @default.
- W2276500586 cites W2059571939 @default.
- W2276500586 cites W2061160212 @default.
- W2276500586 cites W2069317099 @default.
- W2276500586 cites W2069601141 @default.
- W2276500586 cites W2128569377 @default.
- W2276500586 cites W2150747312 @default.
- W2276500586 cites W2152141296 @default.
- W2276500586 cites W2239738145 @default.
- W2276500586 cites W2784613697 @default.
- W2276500586 cites W3021001355 @default.
- W2276500586 cites W3125320693 @default.
- W2276500586 cites W3125412410 @default.
- W2276500586 cites W3125666236 @default.
- W2276500586 cites W2120537712 @default.
- W2276500586 hasPublicationYear "2015" @default.
- W2276500586 type Work @default.
- W2276500586 sameAs 2276500586 @default.
- W2276500586 citedByCount "0" @default.
- W2276500586 crossrefType "posted-content" @default.
- W2276500586 hasAuthorship W2276500586A5030640403 @default.
- W2276500586 hasAuthorship W2276500586A5052915179 @default.
- W2276500586 hasAuthorship W2276500586A5071565517 @default.
- W2276500586 hasConcept C101104100 @default.
- W2276500586 hasConcept C105795698 @default.
- W2276500586 hasConcept C107673813 @default.
- W2276500586 hasConcept C111350023 @default.
- W2276500586 hasConcept C118671147 @default.
- W2276500586 hasConcept C149782125 @default.
- W2276500586 hasConcept C162324750 @default.
- W2276500586 hasConcept C187736073 @default.
- W2276500586 hasConcept C23922673 @default.
- W2276500586 hasConcept C32896092 @default.
- W2276500586 hasConcept C33923547 @default.
- W2276500586 hasConcept C41008148 @default.
- W2276500586 hasConcept C43711488 @default.
- W2276500586 hasConcept C76155785 @default.
- W2276500586 hasConcept C91602232 @default.
- W2276500586 hasConcept C94128290 @default.
- W2276500586 hasConceptScore W2276500586C101104100 @default.
- W2276500586 hasConceptScore W2276500586C105795698 @default.
- W2276500586 hasConceptScore W2276500586C107673813 @default.
- W2276500586 hasConceptScore W2276500586C111350023 @default.
- W2276500586 hasConceptScore W2276500586C118671147 @default.
- W2276500586 hasConceptScore W2276500586C149782125 @default.
- W2276500586 hasConceptScore W2276500586C162324750 @default.
- W2276500586 hasConceptScore W2276500586C187736073 @default.
- W2276500586 hasConceptScore W2276500586C23922673 @default.
- W2276500586 hasConceptScore W2276500586C32896092 @default.
- W2276500586 hasConceptScore W2276500586C33923547 @default.
- W2276500586 hasConceptScore W2276500586C41008148 @default.
- W2276500586 hasConceptScore W2276500586C43711488 @default.
- W2276500586 hasConceptScore W2276500586C76155785 @default.
- W2276500586 hasConceptScore W2276500586C91602232 @default.
- W2276500586 hasConceptScore W2276500586C94128290 @default.
- W2276500586 hasLocation W22765005861 @default.
- W2276500586 hasOpenAccess W2276500586 @default.
- W2276500586 hasPrimaryLocation W22765005861 @default.
- W2276500586 hasRelatedWork W1494830222 @default.
- W2276500586 hasRelatedWork W1589698302 @default.
- W2276500586 hasRelatedWork W1980040813 @default.
- W2276500586 hasRelatedWork W2031317943 @default.
- W2276500586 hasRelatedWork W2050030115 @default.
- W2276500586 hasRelatedWork W2346730817 @default.
- W2276500586 hasRelatedWork W2382639983 @default.
- W2276500586 hasRelatedWork W2467242089 @default.
- W2276500586 hasRelatedWork W2584732415 @default.
- W2276500586 hasRelatedWork W2612910500 @default.
- W2276500586 hasRelatedWork W2774678997 @default.
- W2276500586 hasRelatedWork W2841364728 @default.
- W2276500586 hasRelatedWork W2968648483 @default.
- W2276500586 hasRelatedWork W3048631048 @default.
- W2276500586 hasRelatedWork W3098049687 @default.
- W2276500586 hasRelatedWork W3124051913 @default.
- W2276500586 hasRelatedWork W3155441717 @default.
- W2276500586 hasRelatedWork W3209824261 @default.
- W2276500586 hasRelatedWork W606490045 @default.
- W2276500586 hasRelatedWork W3121649378 @default.
- W2276500586 isParatext "false" @default.
- W2276500586 isRetracted "false" @default.
- W2276500586 magId "2276500586" @default.
- W2276500586 workType "article" @default.