Return and Value at Risk using the Dirichlet Process
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DOI: 10.1080/13504860701718448
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References listed on IDEAS
- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Zarepour, M. & Knight, K., 1999. "Bootstrapping point processes with some applications," Stochastic Processes and their Applications, Elsevier, vol. 84(1), pages 81-90, November.
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Cited by:
- Zarepour, Mahmoud & Labadi, Luai Al, 2012. "On a rapid simulation of the Dirichlet process," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 916-924.
- Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
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Keywords
Dirichlet process; quantiles; Bayes estimates; value at risk;All these keywords.
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