Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

L. Gatarek, L.F. Hoogerheide, K. Hooning, H.K. van Dijk

    Research output: Working paperProfessional

    Original languageEnglish
    Place of PublicationAmsterdam
    PublisherTinbergen Institute
    Number of pages27
    Publication statusPublished - 2013

    Publication series

    NameTI Discussion Paper
    No.13-060/III

    Cite this

    Gatarek, L., Hoogerheide, L. F., Hooning, K., & van Dijk, H. K. (2013). Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation. (TI Discussion Paper; No. 13-060/III). Amsterdam: Tinbergen Institute.