Partially censored posterior for robust and efficient risk evaluation

DOI10.1016/j.jeconom.2019.12.007zbMath1456.62273OpenAlexW2970982009MaRDI QIDQ2190228

Siem Jan Koopman, Agnieszka Borowska, Hermann K. Van Dijk, Lennart F. Hoogerheide

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/74f55bd4-7028-4667-83d0-aecc7de0865a

zbMATH Keywords

importance samplingMarkov chain Monte Carlovalue-at-riskBayesian inferencemisspecificationexpected shortfallcensored likelihooddensity forecastingcensored posteriormixture of Student's \(t\)partially censored posterior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Related Items (1)

Editorial: Nonlinear financial econometrics JoE special issue introduction

Uses Software

• QRM

Cites Work

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• Coherent Measures of Risk
• Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix
• Autoregressive Conditional Density Estimation
• Bayesian Inference in Econometric Models Using Monte Carlo Integration

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