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19-018/III - Bayesian Risk Forecasting for Long Horizons


  • Authors
    Agnieszka Borowska, VU Amsterdam; Lennart Hoogerheide, VU Amsterdam; Siem Jan Koopman, VU Amsterdam
  • Publication date
    February 22, 2019
  • Keywords
    Bayesian inference, forecasting, importance sampling, numerical accuracy, long run risk, Value-at-Risk, Expected Shortfall
  • JEL
    C32