Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Lukasz Gatarek; Lennart Hoogerheide; Koen Hooning; Herman K. van Dijk
| Year of publication: |
2013
|
|---|---|
| Authors: | Gatarek, Lukasz ; Hoogerheide, Lennart ; Hooning, Koen ; Dijk, Herman K. van |
| Publisher: |
Rotterdam |
| Subject: | Censored likelihood | Censored posterior | Censored predictive likelihood | Bayesian model averaging | Value at risk | Metropolis-Hastings algorithm | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Algorithmus | Algorithm | Theorie | Theory |
freely available
| Extent: | Online-Ressource (25 S.) |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2013,060 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:10419/87166 [Handle] |
| Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 ; G17 - Financial Forecasting |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009756308