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