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Article: Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework

TitleFormulating hypothetical scenarios in correlation stress testing via a Bayesian framework
Authors
Yu, PLHLi, WKNg, FC
KeywordsBayesian estimation
Block Gibbs sampling
Correlation stress testing
Scenario test
Issue Date2014
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/najef
Citation
The North American Journal of Economics and Finance, 2014, v. 27, p. 17-33 How to Cite?
DOI: http://dx.doi.org/10.1016/j.najef.2013.10.002
Persistent Identifierhttp://hdl.handle.net/10722/194984
ISSN
1062-9408
2023 Impact Factor: 3.8
2023 SCImago Journal Rankings: 0.859
ISI Accession Number ID
WOS:000334142600002

 

DC FieldValueLanguage
dc.contributor.authorYu, PLHen_US
dc.contributor.authorLi, WKen_US
dc.contributor.authorNg, FCen_US
dc.date.accessioned2014-02-21T06:43:35Z-
dc.date.available2014-02-21T06:43:35Z-
dc.date.issued2014en_US
dc.identifier.citationThe North American Journal of Economics and Finance, 2014, v. 27, p. 17-33en_US
dc.identifier.issn1062-9408-
dc.identifier.urihttp://hdl.handle.net/10722/194984-
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/najef-
dc.relation.ispartofThe North American Journal of Economics and Financeen_US
dc.subjectBayesian estimation-
dc.subjectBlock Gibbs sampling-
dc.subjectCorrelation stress testing-
dc.subjectScenario test-
dc.titleFormulating hypothetical scenarios in correlation stress testing via a Bayesian frameworken_US
dc.typeArticleen_US
dc.identifier.emailYu, PLH: plhyu@hku.hken_US
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hken_US
dc.identifier.emailNg, FC: fcng@hku.hken_US
dc.identifier.authorityYu, PLH=rp00835en_US
dc.identifier.authorityLi, WK=rp00741en_US
dc.identifier.doi10.1016/j.najef.2013.10.002-
dc.identifier.scopuseid_2-s2.0-84888126713-
dc.identifier.hkuros228076en_US
dc.identifier.volume27en_US
dc.identifier.spage17en_US
dc.identifier.epage33en_US
dc.identifier.isiWOS:000334142600002-
dc.publisher.placeNetherlandsen_US
dc.identifier.issnl1062-9408-

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