A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
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Publication:2255951
DOI10.1016/j.ejor.2013.07.008zbMath1305.91244OpenAlexW1979264100MaRDI QIDQ2255951
Publication date: 18 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/9283
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Bayesian inference (62F15) Economic time series analysis (91B84)
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