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isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Hoogerheide, Lennart F."
~subject:"Risk measure"
~subject:"State space model"
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Hoogerheide, Lennart F.
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Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann
Hoogerheide, Lennart F.
;
Ravazzolo, Francesco
;
Dijk, …
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2011
Persistent link: https://www.econbiz.de/10009720750
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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart F.
;
Dijk, Herman K. van
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2008
Persistent link: https://www.econbiz.de/10003774522
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