Partially censored posterior for robust and efficient risk evaluation

DOI10.1016/j.jeconom.2019.12.007zbMath1456.62273MaRDI QIDQ2190228

Siem Jan Koopman, Agnieszka Borowska, Hermann K. Van Dijk, Lennart F. Hoogerheide

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/74f55bd4-7028-4667-83d0-aecc7de0865a

zbMATH Keywords

importance sampling; Markov chain Monte Carlo; value-at-risk; Bayesian inference; misspecification; expected shortfall; censored likelihood; density forecasting; censored posterior; mixture of Student's \(t\); partially censored posterior

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62F15: Bayesian inference

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Uses Software

• QRM

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