Bayesian estimation of TVaR measure under Pareto-Gamma models

DOI10.3969/J.ISSN.1005-3085.2015.05.005zbMATH Open1349.91325MaRDI QIDQ2992289FDOQ2992289

Authors: Yi Zhang, Dongqiong Zhou, Limin Wen 

Publication date: 10 August 2016

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zbMATH Keywords

strong consistencyBayesian estimationTVaR measureVaR measure

Mathematics Subject Classification ID

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

Cited In (1)

• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models

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