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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003774522

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

A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011

Persistent link: https://www.econbiz.de/10008809885

To bridge, to warp or to wrap? A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

Persistent link: https://www.econbiz.de/10003813789

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

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...

Persistent link: https://www.econbiz.de/10011377096

To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

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...

Persistent link: https://www.econbiz.de/10011377602