Extreme Value GARCH modelling with Bayesian inference

18th World IMACS Congress and MODSIM 2009 - International Congress on Modelling and Simulation: Interfacing Modelling and Simulation with Mathematical and Computational Sciences, Proceedings

Volumn , Issue , 2009, Pages 1391-1397

  Zhao, X ^a   Oxley, L ^a   Scarrott, C ^a   Reale, M ^a  

^a UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

Bayesian; Dependency; Extreme value distribution; MCMC; Return quantile

Indexed keywords

BAYESIAN NETWORKS; COMPUTATION THEORY; ECONOMICS; INFERENCE ENGINES; INVESTMENTS; MARKOV CHAINS; MONTE CARLO METHODS; RISK ANALYSIS; RISK ASSESSMENT; TIME SERIES;

CONDITIONAL AUTOREGRESSIVE; ESTIMATION OF PARAMETERS; EXTREME VALUE DISTRIBUTIONS; GENERALISED EXTREME VALUE DISTRIBUTIONS; GENERALIZED EXTREME VALUE DISTRIBUTION; LOCATION AND SCALE PARAMETERS; MARKOV CHAIN MONTE CARLO METHOD; PARAMETER ESTIMATION METHOD;

PARAMETER ESTIMATION;

EID: 85086248248     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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