Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Lukasz Gatarek; Lennart Hoogerheide; Koen Hooning; Herman K. van Dijk
| Year of publication: |
2013
|
|---|---|
| Authors: | Gatarek, Lukasz ; Hoogerheide, Lennart ; Hooning, Koen ; Dijk, Herman K. van |
| Publisher: |
Rotterdam |
| Subject: | Censored likelihood | Censored posterior | Censored predictive likelihood | Bayesian model averaging | Value at risk | Metropolis-Hastings algorithm | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Algorithmus | Algorithm | Theorie | Theory |
freely available