VaR of SSE returns Based on Bayesian Markov-Switching GARCH Approach.
Ruofan LiaoPetchaluck BoonyakunakornSongsak SriboonchittaPublished in: ICBDT (2019)
Keyphrases
- markov chain
- bayesian inference
- bayesian learning
- exchange rate
- bayesian networks
- conditional independence
- maximum likelihood
- maximum entropy
- markov model
- posterior distribution
- semi markov
- risk measures
- bayesian decision
- feature selection
- tunnel diode
- markov process
- wavelet analysis
- data sets
- decision theory
- information loss
- posterior probability
- image restoration
- multiresolution
- decision trees