Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques
AbstractThis article proposes a methodology for measuring value at risk for fat-tailed asset return distributions. Simulation-based results indicate that this approach provides better estimates of risk than one based on the assumption that asset returns are normally distributed.
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Bibliographic InfoArticle provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.
Volume (Year): (1997)
Issue (Month): Mar ()
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