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Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous … of the unobserved errors, while the regression function is estimated using the Nadaraya-Watson estimator admitting … nonparametric regression model of the Australian All Ordinaries returns and the kernel density estimation of gross domestic product …

Persistent link: https://www.econbiz.de/10011506243

Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures

Gerlach, Richard; Wang, Chao - In: International journal of forecasting 36 (2020) 2, pp. 489-506

Persistent link: https://www.econbiz.de/10012415185

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Partially Censored Posterior for robust and efficient risk evaluation

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

A novel approach to inference for a speciﬁc region of the predictive distribution is introduced. An important domain of application is accurate prediction of ﬁnancial risk measures, where the area of interest is the left tail of the predictive density of logreturns. Our proposed approach...

Persistent link: https://www.econbiz.de/10012214294

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

Partially censored posterior for robust and efficient risk evaluation

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

Persistent link: https://www.econbiz.de/10012057160

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17

According to the last proposals of the Basel Committee on Banking Supervision, banks or insurance companies under the advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital requirement. The fourth includes ’business...

Persistent link: https://www.econbiz.de/10011866503

Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution

Wang, Chao; Chen, Qian; Gerlach, Richard - In: Quantitative finance 19 (2019) 6, pp. 1017-1042

Persistent link: https://www.econbiz.de/10012194739

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models

Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71

Persistent link: https://www.econbiz.de/10013334620