Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (Q4607381)
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scientific article; zbMATH DE number 6849578
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| default for all languages | No label defined |
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| English | Value at risk estimation under stochastic volatility models using adaptive PMCMC methods |
scientific article; zbMATH DE number 6849578 |
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Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (English)
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13 March 2018
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adaptive MCMC
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Bayesian statistics
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particle filter
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stochastic volatility
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value-at-risk
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0.7991666793823242
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0.7940511107444763
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0.7842657566070557
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0.7817559838294983
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