• Corpus ID: 246240880

Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC

@inproceedings{Bo2022DynamicRM,
  title={Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC},
  author={Shi Bo},
  year={2022}
}
  • Shi Bo
  • Published 24 January 2022
  • Economics, Business
This paper aims to characterize the typical factual characteristics of financial market returns and volatility and address the problem that the tail characteristics of asset returns have been not sufficiently considered, as an attempt to more effectively avoid risks and productively manage stock market risks. Thus, in this paper, the fat-tailed distribution and the leverage effect are introduced into the SV model. Next, the model parameters are estimated through MCMC. Subsequently, the fat… 

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