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~language:"eng"
~person:"Hoogerheide, Lennart"
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"Stichprobenerhebung"
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Estimation theory
Kapitaleinkommen
Stichprobenerhebung
Risikomaß
13
Prognoseverfahren
11
Risk measure
11
Statistische Verteilung
11
Bayesian inference
10
Expected Shortfall
10
importance sampling
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Bayes-Statistik
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Value-at-Risk
9
ARCH-Modell
8
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6
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Markov chain Monte Carlo
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Schätztheorie
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Value at Risk
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censored likelihood
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censored posterior
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Monte Carlo simulation
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density forecasting
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misspecification
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mixture of Student's t
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mixture of Student-t distributions
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numerical accuracy
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partially censored posterior
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Algorithm
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GARCH
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Hoogerheide, Lennart
McAleer, Michael
19
Ardia, David
13
Stoja, Evarist
13
Polanski, Arnold
12
Hammoudeh, Shawkat
11
Bali, Turan G.
9
Francq, Christian
9
Zakoïan, Jean-Michel
9
Allen, David E.
7
Almeida, Caio
7
Asai, Manabu
7
Härdle, Wolfgang
7
Lucas, André
7
Lönnbark, Carl
7
Caporin, Massimiliano
6
Chiang, Thomas C.
6
Dijk, Herman K. van
6
Garcia, René
6
Hoogerheide, Lennart F.
6
Jiang, Hao
6
Manganelli, Simone
6
Paolella, Marc S.
6
Ruenzi, Stefan
6
Scharth, Marcel
6
Weigert, Florian
6
Ardison, Kym
5
Bormann, Carsten
5
Cai, Zongwu
5
Daouia, Abdelaati
5
Demirtas, K. Ozgur
5
Escanciano, Juan Carlos
5
Gouriéroux, Christian
5
Gupta, Rangan
5
Haas, Markus
5
Karmakar, Madhusudan
5
Kelly, Bryan T.
5
Lazar, Emese
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Journal of risk
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ECONIS (ZBW)
9
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1
Partially Censored Posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012214294
Saved in:
2
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
3
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
Saved in:
4
Bayesian risk forecasting for long horizons
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures,
Value-at-Risk
and …
Persistent link: https://www.econbiz.de/10011979983
Saved in:
5
Methods for computing numerical standard errors : review and application to
value-at-risk
estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
6
GARCH models for daily stock returns : impact of estimation frequency on
value-at-risk
and expected shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart
-
2013
Persistent link: https://www.econbiz.de/10010191413
Saved in:
7
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
8
A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...
Persistent link: https://www.econbiz.de/10011382695
Saved in:
9
A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
2011
Persistent link: https://www.econbiz.de/10008809885
Saved in:
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