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subject:"Prognoseverfahren"
~isPartOf:"Journal of econometrics"
~person:"Dijk, Herman K. van"
~person:"Gerdrup, Karsten R."
~subject:"Expected Shortfall"
~subject:"Markov-Kette"
~subject:"Theorie"
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Prognoseverfahren
Expected Shortfall
Markov-Kette
Theorie
Bayes-Statistik
4
Bayesian inference
4
Forecasting model
4
Statistical distribution
4
Statistische Verteilung
4
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Theory
2
Time series analysis
2
Zeitreihenanalyse
2
ARCH model
1
ARCH-Modell
1
Algorithm
1
Algorithmus
1
Bayesian filtering
1
Censored likelihood
1
Censored posterior
1
Density combination
1
Density forecast combination
1
Density forecasting
1
Dynamic factor models
1
Estimation
1
Estimation theory
1
IV-Schätzung
1
Importance sampling
1
Instrumental variables
1
Kullback-Leibler divergence
1
Large set of predictive densities
1
Markov chain
1
Markov chain Monte Carlo
1
Misspecification
1
Mixture of Student’s t
1
Nonlinear state-space
1
Partially censored posterior
1
Risikomaß
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Dijk, Herman K. van
Gerdrup, Karsten R.
Maheu, John M.
3
Bücher, Axel
2
Casarin, Roberto
2
Chang, Chia-Lin
2
Chang, Yoosoon
2
Chen, Bin
2
Corradi, Valentina
2
Dufour, Jean-Marie
2
Hong, Yongmiao
2
Hoogerheide, Lennart
2
Jin, Xin
2
Kim, Chang Sik
2
Ling, Shiqing
2
McAleer, Michael
2
Norets, Andriy
2
Oh, Dong Hwan
2
Okhrin, Yarema
2
Paolella, Marc S.
2
Park, Joon Y.
2
Patton, Andrew J.
2
Pelenis, Justinas
2
Polak, Pawel
2
Ravazzolo, Francesco
2
Rossi, Barbara
2
Sekhposyan, Tatevik
2
Soofi, Ehsan S.
2
Swanson, Norman R.
2
Vries, Casper G. de
2
Zhu, Dongming
2
Abadir, Karim Maher
1
Aguilar, Mike
1
Amengual, Dante
1
Andersen, Torben
1
Arvanitis, Stelios
1
Asimit, Alexandru V.
1
Babii, Andrii
1
Ball, Ryan T.
1
Bassett, Gib
1
Beaulieu, Marie-Claude
1
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Journal of econometrics
Discussion paper / Tinbergen Institute
25
Working paper / Norges Bank
5
CAMP working paper series
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Norges Bank Working Paper
2
GSBE research memoranda
1
International journal of forecasting
1
Report / Econometric Institute, Erasmus University Rotterdam
1
Staff memo / Norges Bank
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ECONIS (ZBW)
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1
A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014471818
Saved in:
2
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
3
Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica
;
Casarin, Roberto
;
Ravazzolo, Francesco
; …
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 213-232
Persistent link: https://www.econbiz.de/10010254875
Saved in:
4
A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10009691174
Saved in:
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