Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
Lennart Hoogerheide; Herman K. van Dijk
| Year of publication: |
2010
|
|---|---|
| Authors: | Hoogerheide, Lennart ; Dijk, Herman K. van |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 26.2010, 2, p. 231-247
|
| 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: | 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/10003980297