Bauwens, Luc (contributor); … - 2005
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Keywords: Finite mixture, ML estimation, Bayesian inference, Value at Risk.
JEL Classification: C11, C15, C32
1CORE and … -1.3461 -1.5505
5 -1.3648 -1.5812
h is the post-sample prediction horizon. VaR is
the 5 percent value-at-risk quantile.
5 … model.
In Table 8 we give the mean, standard deviation and value-at-risk at 5 percent (VaR) for
the five days. Because of …