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