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

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

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation. / Gatarek, L.; Hoogerheide, L.F.; Hooning, K.; van Dijk, H.K.

Amsterdam : Tinbergen Institute, 2013. (TI Discussion Paper; No. 13-060/III).

Research output: Working paperProfessional

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 -

Gatarek L, Hoogerheide LF, Hooning K, van Dijk HK. Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation. Amsterdam: Tinbergen Institute. 2013. (TI Discussion Paper; 13-060/III).