Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling-Reference-Cited by-同舟云学术

Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling

Published:2010-04 Issue:2 Volume:26 Page:231-247
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Hoogerheide Lennart,van Dijk Herman K.

Publisher

Elsevier BV

Subject

Business and International Management

Reference20 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

3. Financial risk management with Bayesian estimation of GARCH models;Ardia,2008

4. Ardia, D., Hoogerheide, L. F., & Van Dijk, H. K. (2008). The ‘AdMit’ package: Adaptive mixture of Student-t distributions. R Foundation for Statistical Computing. URL: http://cran.at.r-project.org/web/packages/AdMit/index.html.

5. Coherent measures of risk;Artzner;Quantitative Finance,1999

Cited by 48 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics;SIAM Journal on Financial Mathematics;2024-06-07

2. A Bayesian Approach to Measuring Risk on Portfolios with Many Assets;Data Analysis and Related Applications 3;2024-04-12

3. Time point and scale measurement of carbon sink trading market risk based on catastrophe entropy and potential function;Environmental Science and Pollution Research;2023-11-25

4. A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies;Journal of Forecasting;2022-11-23

5. Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data;International Journal of Forecasting;2022-09