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

DOI10.1080/14697688.2017.1330551MaRDI QIDQ4554430zbMATH OpenOpenAlexFDO

Authors 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 factorsCAViaR modelsencompassing testforecasting evaluationMetropolis-Hastingsvalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A quasi-Bayesian model averaging approach for conditional quantile models
• An MCMC approach to classical estimation.
• Analysis of Financial Time Series
• Bayes Factors
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Bayesian quantile regression
• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• scientific article; zbMATH DE number 720676 (Why is no real title available?)
• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• scientific article; zbMATH DE number 2104352 (Why is no real title available?)
• scientific article; zbMATH DE number 849929 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Marginal Likelihood from the Gibbs Output
• On generalised asymmetric stochastic volatility models
• On the formulation of empirical models in dynamic econometrics
• Optimal proposal distributions and adaptive MCMC
• Semiparametric estimation of Value at Risk
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model

Cited in

(3)

• Bayesian value-at-risk backtesting: the case of annuity pricing
• Using CAViaR models with implied volatility for value-at-risk estimation
• A quasi-Bayesian model averaging approach for conditional quantile models

Describes a project that uses

Uses Software

• CAViaR
• BayesDA
• FinTS

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