A Bayesian approach for more reliable tail risk forecasts
Year of publication: |
2023
|
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Authors: | Li, Dan ; Clements, Adam ; Drovandi, Christopher |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 64.2023, p. 1-22
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Subject: | CAViaR | Value-at-risk | Expected shortfall | Sequential Monte Carlo | Uncertainty quantification | Systemic risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Bayes-Statistik | Bayesian inference | Finanzdienstleistung | Financial services | Statistische Verteilung | Statistical distribution |
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