Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation-Reference-Cited by-同舟云学术

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Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Published:2013 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Gatarek Lukasz T.,Hoogerheide Lennart F.,Hooning Koen,van Dijk H. K.

Publisher

Elsevier BV

Reference34 articles.

1. Comparing density forecasts via weighted likelihood ratio tests;G Amisano;Journal of Business and Economic Statistics,2007

2. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood;D Ardia;Computational Statistics & Data Analysis,2012

3. Comparing density forecast models;Y Bao;Journal of Forecasting,2007

4. A comment on D.V. Lindley's statistical paradox;M S Bartlett;Biometrika,1957

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