Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (Q4607381)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Value at risk estimation under stochastic volatility models using adaptive PMCMC methods |
scientific article; zbMATH DE number 6849578
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value at risk estimation under stochastic volatility models using adaptive PMCMC methods |
scientific article; zbMATH DE number 6849578 |
Statements
Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (English)
0 references
13 March 2018
0 references
adaptive MCMC
0 references
Bayesian statistics
0 references
particle filter
0 references
stochastic volatility
0 references
value-at-risk
0 references
0 references
0 references
