Partially censored posterior for robust and efficient risk evaluation
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.12.007
Abstract: A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left… read more here.
Keywords: partially censored; region; region interest; approach ... See more keywords