Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

By Lennart F. Hoogerheide, H. V. Dijk. 2010

73 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/144cfd556934cd23b3a65b0ebe18ee16a09b1098