A quasi-Bayesian model averaging approach for conditional quantile models

DOI10.1080/00949655.2014.913044zbMath1457.62334OpenAlexW2052715206MaRDI QIDQ5220840

Georgios Tsiotas

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.913044

zbMATH Keywords

MCMCMetropolis-Hastingsvalue at riskforecasting evaluationCAViaR modelsquasi-Bayesian model averaging

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Related Items (2)

A Bayesian encompassing test using combined value-at-risk estimates ⋮ An ABC approach for CAViaR models with asymmetric kernels

Uses Software

• CAViaR
• BayesDA

Cites Work

• On generalised asymmetric stochastic volatility models
• An MCMC approach to classical estimation.
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bayesian model selection and model averaging
• Likelihood analysis of non-Gaussian measurement time series
• Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
• Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting
• Combining Linear Regression Models
• Unnamed Item
• Unnamed Item
• Unnamed Item

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