Blar i Arbeidsnotater / Working Papers på forfatter "Borowska, Agnieszka"

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    • Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies 

      Basturk, Nalan; Borowska, Agnieszka; Grassi, Stefano; Hoogerheide, Lennart; van Dijk, Herman K. (Working Paper;10/2018, Working paper, 2018)
      A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry ...

    • Partially Censored Posterior for robust and efficient risk evaluation 

      Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)
      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 ...