Bayesian extreme value mixture modelling for estimating VaR
Xin Zhao; Carl John Scarrott; Marco Reale; Les Oxley
| Year of publication: |
[2009]
|
|---|---|
| Authors: | Zhao, Xin ; Scarrott, Carl John ; Reale, Marco ; Oxley, Les |
| Institutions: | University of Canterbury / Dept. of Economics and Finance (contributor) |
| Publisher: |
Christchurch, N.Z : Dept. of Economics and Finance, University of Canterbury |
| Subject: | Ausreißer | Outliers | Bayes-Statistik | Bayesian inference | Risikomaß | Risk measure | Simulation |
| Extent: | Online-Ressource (33 p., 759 Kb) graph. Darst. |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2009,15 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Archived by the National Library of New Zealand Title from PDF cover (viewed on Dec. 1, 2009) "27 October, 2009"--P.1 "JEL Classifications: C11, G12, G17"--P.1 Hypertext links contained in the archived instances of this title are non-functional Includes bibliographical references (p. 30-33) Mode of access: World Wide Web Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008669712