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A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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A parsimonious approach to stochastic mortality modelling with dependent residuals
Mavros, George; Cairns, Andrew; Kleinow, Torsten; … - 2014
Persistent link: https://www.econbiz.de/10010362818
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A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - 2014
Persistent link: https://www.econbiz.de/10011631789
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Risk margin quantile function via parametric and non-parametric Bayesian approaches
Dong, Alice X. D.; Chan, Jennifer S. K.; Peters, Gareth W. - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 503-550
Persistent link: https://www.econbiz.de/10011397246
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Dynamic importance allocated nested simulation for variable annuity risk measurement
Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 2, pp. 319-348
Persistent link: https://www.econbiz.de/10013342141
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Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance / Mathematics & economics 108 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
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Tail risk forecasting with semiparametric regression models by incorporating overnight information
Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512
Persistent link: https://www.econbiz.de/10015108416
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Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras; Heng, Jeremy; Li, Junye; Liu, Hening - In: Journal of econometrics 228 (2022) 1, pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
Persistent link: https://www.econbiz.de/10012792759