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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012544443
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
Persistent link: https://www.econbiz.de/10012628398
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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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
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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
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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
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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 …
Persistent link: https://www.econbiz.de/10011377096
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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
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The R-package MitISEM : efficient and robust simulation procedures for Bayesian inference
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015
Persistent link: https://www.econbiz.de/10011326076