A Bayesian approach for more reliable tail risk forecasts
Dan Li, Adam Clements, Christopher Drovandi
| Year of publication: |
2023
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|---|---|
| Authors: | Li, Dan ; Clements, Adam ; Drovandi, Christopher |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 64.2023, p. 1-22
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| Subject: | CAViaR | Value-at-risk | Expected shortfall | Sequential Monte Carlo | Uncertainty quantification | Systemic risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Risiko | Risk | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model | Theorie | Theory | Systemrisiko | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfs.2022.101098 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014284929