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

LF Hoogerheide, Herman van Dijk

Research output: Book/Report/Inaugural speech/Farewell speechReportAcademic

Original languageUndefined/Unknown
Place of Publication3000 DR Rotterdam
EditionTinbergen Institute Discussion Paper 2008-0924
Publication statusPublished - 2008

Publication series

SeriesTinbergen Institute Discussion Paper

Research programs

  • EUR ESE 31

Cite this