A Bayesian encompassing test using combined value-at-risk estimates

DOI10.1080/14697688.2017.1330551zbMath1400.91670OpenAlexW2735429259MaRDI QIDQ4554430

Georgios Tsiotas

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1330551

zbMATH Keywords

Bayes factorsMetropolis-Hastingsvalue at riskforecasting evaluationCAViaR modelsencompassing test

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Uses Software

• CAViaR
• BayesDA
• FinTS

Cites Work

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