Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques
This 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.
Volume (Year): (1997)
Issue (Month): Mar ()
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- Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
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