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Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
Hoogerheide, Lennart; Dijk, Herman K. van - In: International journal of forecasting 26 (2010) 2, pp. 231-247
Persistent link: https://www.econbiz.de/10003980297
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Comparing and evaluating Bayesian predictive distributions of asset returns
Hoogerheide, Lennart; van Dijk, Herman K. - In: International journal of forecasting 26 (2010) 2, pp. 216-231
Persistent link: https://www.econbiz.de/10008391798
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Questioning the news about economic growth : sparse forecasting using thousands of news-based sentiment values
Ardia, David; Bluteau, Keven; Boudt, Kris - In: International journal of forecasting 35 (2019) 4, pp. 1370-1386
Persistent link: https://www.econbiz.de/10012305351
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Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo - In: International journal of forecasting 34 (2018) 4, pp. 733-747
Persistent link: https://www.econbiz.de/10012031094