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Feng Chia University - Graduate Institute of Statistics & Actuarial Science

100 Wen Hwa Road

Taichung, 407

Taiwan

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Scholarly Papers (1)

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

Journal of Forecasting, Forthcoming
Number of pages: 34 Posted: 21 Apr 2011 Last Revised: 27 Jan 2015
Feng Chia University - Department of Statistics, University of Sydney, Graduate Institute of Applied Statistics, Feng Chia University and Feng Chia University - Graduate Institute of Statistics & Actuarial Science
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Abstract:

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EGARCH Model, Generalized Error Distribution, Markov Chain Monte Carlo Method, Value-at-Risk, Skewed Student-t, Market Risk Charge, Global Financial Crisis