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99-082/4 - Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

  • Authors
    Luc Bauwens, CORE, Université Catholique de Louvain; Charles S. Bos, Erasmus University Rotterdam; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam
  • Publication date
    November 2, 1999
  • Keywords
    Markov chain Monte Carlo; simulation; polar coordinates; GARCH; ill-behaved posterior; Value-at-Risk
  • JEL
    C11; C15; C63
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