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