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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Hoogerheide, Lennart"
~subject:"ARCH-Modell"
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Hoogerheide, Lennart
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Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Gatarek, Lukasz
;
Hoogerheide, Lennart
;
Hooning, Koen
; …
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2013
Persistent link: https://www.econbiz.de/10009756308
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart
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2013
Persistent link: https://www.econbiz.de/10010191413
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
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2012
Persistent link: https://www.econbiz.de/10009722688
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