Bayesian estimation of TVaR measure under Pareto-Gamma models

DOI10.3969/J.ISSN.1005-3085.2015.05.005MaRDI QIDQ2992289zbMATH OpenFDO

Authors Yi Zhang, Dongqiong Zhou, Limin Wen

Publication date 10 August 2016

zbMATH Keywords

strong consistencyBayesian estimationTVaR measureVaR measure

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Bayesian estimation of value at risk measure under exponential-Gamma models
• Bayesian estimation and statistical analysis of risk measurements
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
• The statistical analysis of risk measure in Pareto risk model

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