A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
M. Concepción Ausín; Pedro Galeano; Pulak Ghosh
| Year of publication: |
2014
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|---|---|
| Authors: | Ausín, M. Concepción ; Galeano, Pedro ; Ghosh, Pulak |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 232.2014, 2 (16.1.), p. 350-358
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| Subject: | Finance | Bayesian nonparametrics | Dirichlet process mixtures | GARCH models | Risk management | Value at risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Risikomanagement | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010224698