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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001
ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance densities) areinvestigated in …
Persistent link: https://www.econbiz.de/10011256653
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 1999
. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed disturbancedensities …
Persistent link: https://www.econbiz.de/10011257188