A quasi-Bayesian model averaging approach for conditional quantile models
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Cites work
- An MCMC approach to classical estimation.
- Bayesian forecasting for financial risk management, pre and post the global financial crisis
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Bayesian model selection and model averaging
- Combining Linear Regression Models
- Combining regression quantile estimators
- Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
- scientific article; zbMATH DE number 1911984 (Why is no real title available?)
- Likelihood analysis of non-Gaussian measurement time series
- On generalised asymmetric stochastic volatility models
- Optimal proposal distributions and adaptive MCMC
Cited in
(6)- Model averaging quantiles from data censored by a limit of detection
- Hybrid method of using neural networks and ARMA model to forecast value at risk (VAR) in the Chinese stock market
- A Bayesian encompassing test using combined value-at-risk estimates
- Financial risk management based on quantile regression model
- An ABC approach for CAViaR models with asymmetric kernels
- Robust parameter design based on the ensemble Bayesian model averaging
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