A Bayesian Confidence Interval for Value-at-Risk
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References listed on IDEAS
- Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 293-305, September.
- Cornelius, Peter K., 2000. "Trade in financial services, capital flows, and the value-at-risk of countries," Research Notes 00-2, Deutsche Bank Research.
- Peter K. Cornelius, 2000. "Trade in Financial Services, Capital Flows, and the Value-at-Risk of Countries," The World Economy, Wiley Blackwell, vol. 23(5), pages 649-672, May.
- Karolyi, G. Andrew, 1993. "A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 579-594, December.
- Mark Britten-Jones, 1999. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights," Journal of Finance, American Finance Association, vol. 54(2), pages 655-671, April.
More about this item
KeywordsBayesian Statistics; Confidence Interval; Monte Carlo Simulations; Value-at-Risk;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-04 (All new papers)
- NEP-ECM-2004-07-17 (Econometrics)
- NEP-ETS-2004-07-04 (Econometric Time Series)
- NEP-FIN-2004-07-04 (Finance)
- NEP-RMG-2004-07-04 (Risk Management)
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