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Hoogerheide et al., 2010 - Google Patents

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide et al., 2010

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Document ID
15356999903574545630
Author
Hoogerheide L
van Dijk H
Publication year
Publication venue
International Journal of Forecasting

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Snippet

An efficient and accurate approach is proposed for forecasting the Value at Risk (VaR) and Expected Shortfall (ES) measures in a Bayesian framework. This consists of a new adaptive importance sampling method for the Quick Evaluation of Risk using Mixture of t …
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