simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and … bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES … estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … contrast them with the popular Gaussian GARCH estimator in an extensive Monte Carlo simulation. The method we propose generally …

extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …