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 paper / Preprint › Working paper › Professional

Name	TI Discussion Paper
No.	13-060/III

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

author = "L. Gatarek and L.F. Hoogerheide and K. Hooning and {van Dijk}, H.K.",

year = "2013",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute",

number = "13-060/III",

type = "WorkingPaper",

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TY - UNPB

T1 - Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

AU - Gatarek, L.

AU - Hoogerheide, L.F.

AU - Hooning, K.

AU - van Dijk, H.K.

PY - 2013

Y1 - 2013

M3 - Working paper

T3 - TI Discussion Paper

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

PB - Tinbergen Institute

CY - Amsterdam

ER -