Bayesian Forecasting of Value at Risk and Expected...

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SSRN Electronic Journal 2008

Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

Hoogerheide, Lennart F., van Dijk, H. K.
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Year:
2008
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1277122
File:
PDF, 1.97 MB
english, 2008
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