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~isPartOf:"Operations research letters"
~isPartOf:"Tinbergen Institute Discussion Papers"
~source:"repec"
~subject:"Markov chain Monte Carlo"
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RePEc
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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 Institute
-
1999
parsimony and robustness. APS is applied within a Bayesian analysis of a
GARCH
-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005137171
Saved in:
2
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
Saved in:
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