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