Search Results - subject:"Predictive Distribution"

Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk

Bodnar, Taras; Niklasson, Vilhelm; Thorsén, Erik - In: Journal of risk : JOR 26 (2024) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10015651530

Predictive inference with Fleming-Viot-driven dependent Dirichlet processes

Ascolani, Filippo; Lijoi, Antonio; Ruggiero, Matteo - 2020

Persistent link: https://www.econbiz.de/10012297478

Proper scoring rules for evaluating asymmetry in density forecasting

Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca - 2020

Persistent link: https://www.econbiz.de/10012437475

Economic-statistical design of BayesianX control chart based on the predictive distribution

Seirani, Razieh; Torabian, Mohsen; Behzadi, Mohammad Hassan - In: International journal of quality & reliability management 40 (2023) 8, pp. 1925-1939

Persistent link: https://www.econbiz.de/10014332208

Bayesian spatio-temporal modelling and prediction of areal demands for ambulance services

Nicoletta, Vittorio; Guglielmi, Alessandra; Ruiz, Angel; … - In: IMA journal of management mathematics 33 (2022) 1, pp. 101-121

Persistent link: https://www.econbiz.de/10012654791

Bayesian MIDAS penalized regressions : estimation, selection, and prediction

Mogliani, Matteo; Simoni, Anna - In: Journal of econometrics 222 (2021) 1,3, pp. 833-860

Persistent link: https://www.econbiz.de/10012619795

Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty

Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10012424557

BAYESIAN INFERENCE FOR STATE SPACE MODEL WITH PANEL DATA

Pandey, Ranjita; Chaturvedi, Anoop - In: Statistics in Transition New Series 17 (2016) 2, pp. 211-219

Persistent link: https://www.econbiz.de/10012141615

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011313235

Foreign exchange predictability during the financial crisis: Implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015

Persistent link: https://www.econbiz.de/10011460619