Bayesian Value-at-Risk with product partition models

  • Giacomo Bormetti, Maria Elena De Giuli, Danilo Delpini, Claudia Tarantola
  • Quantitative Finance, May 2012, Taylor & Francis
  • DOI: 10.1080/14697680903512786

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http://dx.doi.org/10.1080/14697680903512786