Title

Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches using MSF-SBEKK Models

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2010

Issue

No 4

Authors

Osiewalski, Jacek ; Pajor, Anna

Keywords

Bayesian econometrics ; risk analysis ; multivariate GARCH processes ; multivariate SV processes ; hybrid SV-GARCH models

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

253-277

Publisher

Oddział PAN w Łodzi

Date

31.12.2010

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2010.119331 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2010; No 4; 253-277