Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling

International Journal of Forecasting

Volumn 26, Issue 2, 2010, Pages 231-247

  Hoogerheide, Lennart ^a,b   van Dijk, Herman K ^a,b  

^a Erasmus University Rotterdam   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Expected Shortfall; Importance sampling; Mixture of Student t distributions; Numerical standard error; Value at Risk; Variance reduction technique

Indexed keywords

EID: 77649271054     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2010.01.007     Document Type: Article

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