Return and Value at Risk using the Dirichlet Process

DOI10.1080/13504860701718448zbMath1142.91598OpenAlexW2009157972MaRDI QIDQ3523651

Thierry Bédard, Mahmoud Zarepour, André Robert Dabrowski

Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701718448

zbMATH Keywords

Dirichlet processquantilesvalue at riskBayes estimates

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

On a rapid simulation of the Dirichlet process

Cites Work

• Bootstrapping point processes with some applications
• Prior distributions on spaces of probability measures
• A Bayesian analysis of some nonparametric problems
• Exact and approximate sum representations for the Dirichlet process
• The Variance Gamma Process and Option Pricing
• Generalized Gamma measures and shot-noise Cox processes
• On the Asymptotic Behavior of Bayes' Estimates in the Discrete Case
• Asymptotic Behavior of Bayes' Estimates

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