Journal of Guangxi Normal University(Natural Science Edition) ›› 2016, Vol. 34 ›› Issue (4): 38-45.doi: 10.16088/j.issn.1001-6600.2016.04.006

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Bayesian Empirical Likelihood Estimation on VaR and ES

ZHANG Junjian, LAI Tingyu, YANG Xiaowei   

  1. College of Mathematics and Statistics, Guangxi Normal University,Guilin Guangxi 541004, China
  • Received:2016-07-08 Online:2016-07-18 Published:2018-07-18

Abstract: VaR(value at risk) and ES(expected shortfall) are used to measure the loss of financial investment. It is interesting to investigate the estimation of VaR and ES. In this paper, VaR and ES are estimated by Baysian empirical likelihood method. Some properties,such as consistence and asymptotic normality,are given. Simulation studies show that,with some prior information,Baysian empirical likelihood is a better method.

Key words: value at risk, expected shortfall, Bayesian empirical likelihood

CLC Number: 

  • O212.1
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