An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...

This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...

Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration analysis between the variables, toexamine the permanent...

Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...