2024-03-28T09:59:23Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042622
2022-12-19T04:17:43Z
62:7433:7434
9:7435:7436
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
Takahashi, Makoto
Watanabe, Toshiaki
Omori, Yasuhiro
metadata only access
Backtesting
Bias correction
Expected shortfall
Generalized hyperbolic skew Student's t-distribution
Markov chain Monte Carlo
Realized volatility
Stochastic volatility
Value-at-risk
application/pdf
本文フィルはリンク先を参照のこと
日本経済国際共同センター
2014-02
eng
technical report
http://hdl.handle.net/2261/55826
https://repository.dl.itc.u-tokyo.ac.jp/records/42622
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2014/2014cf921ab.html
AA11450569
Discussion paper series. CIRJE-F
CIRJE-F-921