Exact inference for Value-at-Risk
Year of publication: |
2013
|
---|---|
Authors: | Rhee, Hongjai |
Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 12.2013, 9, p. 967-974
|
Subject: | Value at Risk | Parametric uncertainty | Bayesian model | MCMC | Theorie | Theory | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Risiko | Risk | Monte-Carlo-Simulation | Monte Carlo simulation | Induktive Statistik | Statistical inference | ARCH-Modell | ARCH model |
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