Model Selection and Averaging in Financial Risk Management
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Cites work
- A new look at the statistical model identification
- A Regime-Switching Model of Long-Term Stock Returns
- A sticky HDP-HMM with application to speaker diarization
- Accounting for regime and parameter uncertainty in regime-switching models
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
- Bayesian Measures of Model Complexity and Fit
- Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
- Equation of state calculations by fast computing machines
- Estimating the dimension of a model
- Generalized autoregressive conditional heteroscedasticity
- Hidden Markov Models for Time Series
- Hierarchical Dirichlet Processes
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 795289 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Model Selection and Multimodel Inference
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Monte Carlo sampling methods using Markov chains and their applications
- Multi-regime nonlinear capital asset pricing models
- Particle filters and Bayesian inference in financial econometrics
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(8)- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- scientific article; zbMATH DE number 1046833 (Why is no real title available?)
- MODEL SELECTION AND AVERAGING OF HEALTH COSTS IN EPISODE TREATMENT GROUPS
- Using model averaging to determine suitable risk measure estimates
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Economic scenario generator and parameter uncertainty: a Bayesian approach
- Ensemble Economic Scenario Generators: Unity Makes Strength
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