Herman van Dijk

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

25

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Partially Censored Posterior for Robust and Efficient Risk Evaluation

Tinbergen Institute Discussion Paper 2019-057/III
Number of pages: 33 Posted: 22 Aug 2019
VU University Amsterdam, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 11 (694,209)
Citation 1

Abstract:

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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

2.

A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

Tinbergen Institute Discussion Paper 2021-016/III
Number of pages: 51 Posted: 18 Feb 2021
University Ca' Foscari of Venice - Department of Economics, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance, Free University of Bozen-Bolzano and Tinbergen Institute
Downloads 10 (701,896)
Citation 1

Abstract:

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Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference

3.

Bayes estimates of multimodal density features using DNA and Economic Data

Tinbergen Institute Discussion Paper 2021-017/III
Number of pages: 33 Posted: 18 Feb 2021
Nalan Basturk, Lennart F. Hoogerheide and Herman van Dijk
Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 4 (748,550)

Abstract:

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Multimodality, mixtures, Markov Chain Monte Carlo, Bayesian Inference