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13-060/III - Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation


  • Authors
    Lukasz Gatarek, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Koen Hooning, Delft University of Technology; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam, and VU University Amsterdam
  • Publication date
    April 15, 2013
  • Keywords
    censored likelihood, censored posterior, censored predictive likelihood, Bayesian Model Averaging, Value at Risk, Metropolis-Hastings algorithm.
  • JEL
    C11, C15, C22, C51, C53, C58, G17