Sampid et al., 2021 - Google Patents
Forecasting robust value-at-risk estimates: evidence from UK banksSampid et al., 2021
View PDF- Document ID
- 12159932594427382766
- Author
- Sampid M
- Hasim H
- Publication year
- Publication venue
- Quantitative Finance
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Snippet
In this paper, we present a novel approach for forecasting Value-at-Risk (VaR) by combining a Bayesian GARCH (1, 1) model with Student's-t distribution for the underlying volatility models, vine copula functions to model dependence, and the peaks-over-threshold (POT) …
- 241000039077 Copula 0 abstract description 83
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