A Bayesian encompassing test using combined value-at-risk estimates (Q4554430)
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scientific article; zbMATH DE number 6979469
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Bayesian encompassing test using combined value-at-risk estimates |
scientific article; zbMATH DE number 6979469 |
Statements
A Bayesian encompassing test using combined value-at-risk estimates (English)
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14 November 2018
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value at risk
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CAViaR models
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Metropolis-Hastings
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Bayes factors
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encompassing test
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forecasting evaluation
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0.8203263282775879
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0.8058292865753174
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0.7863417863845825
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0.759853184223175
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0.7517825961112976
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