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19-057/III - Partially Censored Posterior for Robust and Efficient Risk Evaluation


  • Authors
    Agnieszka Borowska, Vrije Universiteit Amsterdam; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam ; Herman van Dijk, Erasmus University Rotterdam
  • Publication date
    August 19, 2019
  • Keywords
    Bayesian inference, censored likelihood, censored posterior, partially censored posterior, misspecification, density forecasting, Markov chain Monte Carlo, importance sampling, mixture of Student's t, Value-at-Risk, Expected Shortfall
  • JEL
    C11, C53, C58