GARCH dependence in extreme value models with Bayesian inference

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GARCH dependence in extreme value models with Bayesian inference

Extreme value methods are widely used in financial applications such as risk analysis, forecasting and pricing models. One of the challenges with their application in finance is accounting for the temporal dependence between the observations, for example the stylised fact that financial time series...

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Bibliographic Details
Main Authors:	Zhao, X., Scarrott, C., Oxley, Leslie, Reale, M.
Format:	Journal Article
Published:	Elsevier Science 2011
Subjects:	GARCH Dependence Bayesian inference Extreme values
Online Access:	http://hdl.handle.net/20.500.11937/21796

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