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