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Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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Evaluating forecasts of political conflict dynamics
Brandt, Patrick T.; Freeman, John R.; Schrodt, Philip A. - In: International journal of forecasting 30 (2014) 4, pp. 944-962
Persistent link: https://www.econbiz.de/10010517775
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Payout yield, risk, and mispricing : a Bayesian analysis
Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152
Persistent link: https://www.econbiz.de/10009622431
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Statistical problem classes and their links to information theory
Clarke, Bertrand; Clarke, Jennifer; Yu, Chi Wai - In: Econometric reviews 33 (2014) 1/4, pp. 337-371
Persistent link: https://www.econbiz.de/10010360499
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Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
Gefang, Deborah - In: International journal of forecasting 30 (2013) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10010243650
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Taming volatile high frequency data with long lag structure : an optimal filtering approach for forecasting
Drechsel, Dirk; Neuwirth, Stefan - 2016 - Preliminary version
We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile …
Persistent link: https://www.econbiz.de/10011490594
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012501159
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Bayesian prediction with a cointegrated vector autoregression
Villani, Mattias - 1999
A complete procedure for calculating the joint predictive distribution of future observations based on the cointegrated vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is incorporated into the analysis through a prior distribution on...
Persistent link: https://www.econbiz.de/10011584826
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Composite likelihood methods for large Bayesian VARs with stochastic volatility
Chan, Joshua; Eisenstat, Eric; Hou, Chenghan; Koop, Gary - 2018
Persistent link: https://www.econbiz.de/10012202274