Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Year of publication: |
2013-04-15
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Authors: | Gatarek, Lukasz ; Hoogerheide, Lennart ; Hooning, Koen ; Dijk, Herman K. van |
Institutions: | Tinbergen Instituut |
Subject: | censored likelihood | censored posterior | censored predictive likelihood | Bayesian Model Averaging | Value at Risk | Metropolis-Hastings algorithm |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 13-060/III |
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: |
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Gatarek, Lukasz, (2013)
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Gatarek, Lukasz, (2013)
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Gatarek, Lukasz T., (2014)
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Gatarek, Lukasz, (2014)
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Gatarek, Lukasz, (2013)
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The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
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