Hoogerheide, Lennart; Dijk, Herman K. van - In: International Journal of Forecasting 26 (2010) 2, pp. 231-247
An efficient and accurate approach is proposed for forecasting the Value at Risk (VaR) and Expected Shortfall (ES) measures in a Bayesian framework. This consists of a new adaptive importance sampling method for the Quick Evaluation of Risk using Mixture of t approximations (QERMit). As a first...
