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~person:"Hoogerheide, Lennart"
~source:"econis"
~subject:"Value at Risk"
~subject:"Value-at-Risk"
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Value at Risk
Value-at-Risk
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Hoogerheide, Lennart
Wang, Ruodu
9
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7
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6
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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
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:
4
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:
5
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:
6
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:
7
Bayesian forecasting of
value
at
risk
and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart
;
Dijk, Herman K. van
-
2008
An efficient and accurate approach is proposed for forecasting
Value
at
Risk
[VaR] and Expected Shortfall [ES] measures …
Persistent link: https://www.econbiz.de/10011377096
Saved in:
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