Narrow search
Showing 1 - 10 of 533
Cover Image
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
Cover Image
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
Cover Image
Mr. Wicksell and the global economy : what drives real interest rates?
Brzoza-Brzezina, Michał; Crespo Cuaresma, Jesús - 2008
Persistent link: https://www.econbiz.de/10003676401
Cover Image
Bayesian covariance matrix estimation using a mixture of decomposable graphical models
Armstrong, Helen; Carter, Chris K.; Wong, Kevin; Kohn, … - 2007
Persistent link: https://www.econbiz.de/10003431594
Cover Image
Re-examining the consumption-wealth relationship : the role of model uncertainty
Koop, Gary; Potter, Simon M.; Strachan, Rodney W. - In: Journal of money, credit and banking : JMCB 40 (2008) 2/3, pp. 341-367
Persistent link: https://www.econbiz.de/10003678895
Cover Image
Robust Bayesian analysis of loss reserves data using the generalized-t distribution
Chan, Jennifer S. K.; Choy, S. T. Boris; Makov, Udi E. - 2007
Persistent link: https://www.econbiz.de/10003685206
Cover Image
Estimation risk in covariance
Cho, David D. - In: The journal of asset management 12 (2011) 4, pp. 248-259
Persistent link: https://www.econbiz.de/10009304006
Cover Image
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
Cover Image
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Cover Image
Analysis of variance for Bayesian inference
Geweke, John; Amisano, Gianni - In: Econometric reviews 33 (2014) 1/4, pp. 270-288
Persistent link: https://www.econbiz.de/10010359805