GARCH dependence in extreme value models with Bayesian inference

Mathematics and Computers in Simulation

Volumn 81, Issue 7, 2011, Pages 1430-1440

  Zhao, Xin ^a   Scarrott, Carl John ^a   Oxley, Les ^a   Reale, Marco ^a  

^a UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

Bayesian inference; Dependence; Extreme values; GARCH

Indexed keywords

BAYESIAN INFERENCE; CONDITIONAL AUTOREGRESSIVE; DEPENDENCE; EMPIRICAL DATA; EXTREME QUANTILES; EXTREME VALUE; EXTREME VALUE DISTRIBUTIONS; EXTREME VALUES; FINANCIAL TIME SERIES; GARCH; HETEROSCEDASTICITY; LOCATION AND SCALE PARAMETERS; MARKOV CHAIN MONTE CARLO; PRICING MODELS; SOURCES OF UNCERTAINTY; TEMPORAL DEPENDENCE; TWO STAGE; VOLATILITY CLUSTERING;

COMPUTER SIMULATION; FINANCIAL DATA PROCESSING; INFERENCE ENGINES; MARKOV PROCESSES; PARAMETER ESTIMATION; RISK ANALYSIS; RISK ASSESSMENT; TIME SERIES;

BAYESIAN NETWORKS;

EID: 79951811398     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2010.08.002     Document Type: Conference Paper

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