SMS scnews item created by John Ormerod at Fri 26 Apr 2013 1555
Type: Seminar
Distribution: World
Expiry: 4 May 2013
Calendar1: 3 Mar 2013 1400-1500
CalLoc1: Carslaw 373
Auth: jormerod@pjormerod3.pc (assumed)

# Statistics Seminar: Gerlach -- Bayes Factors for Assessing Dynamic Quantile Forecasts

May 3, 2013 Carslaw 373, 2pm-3pm

Speaker: Richard Gerlach, The University of Sydney

Title: Bayes Factors for Assessing Dynamic Quantile Forecasts

Abstract:
This paper proposes Bayesian evaluation and Bayes factor methods
for assessing dynamic forecasts of quantile levels. Bayes factor
analogues of several popular frequentist tests for independence
and correct coverage of quantile forecasts are developed.
Multivariate quadrature methods and the standard asymmetric
Laplace quantile likelihood function are employed, when analytic
formulas are not available, to obtain relevant marginal
likelihoods. The proposed methods are extensively assessed via
simulations and compared to the relevant frequentist testing
procedures. For the empirical study, the favoured methods from
the simulation study are applied to test the adequacy of a
range of forecasting methods for Value at Risk (VaR) in several
financial market data series.


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