Blar i Norges Banks vitenarkiv på emneord "value-at-risk"

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    • Partially Censored Posterior for robust and efficient risk evaluation 

      Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)
      A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ...