Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Lennart F. Hoogerheide; Herman K. van Dijk
| Year of publication: |
2008
|
|---|---|
| Authors: | Hoogerheide, Lennart F. ; Dijk, Herman K. van |
| Publisher: |
Amsterdam [u.a.] |
| Subject: | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Maßzahl | Statistical measures | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance | Theorie | Theory |
| Extent: | 36 S. graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.], ISSN 0929-0834, ZDB-ID 1336423-6. - Vol. 2008,092 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003774522