• Bayesian Assessment of Dynamic Quantile Forecasts 

      Gerlach, Richard; Chen, Cathy W.S.; Lin, Edward M.H.
      Published 2014-09-10
      Methods for Bayesian testing and assessment of dynamic quantile forecasts are proposed. Specifically, Bayes factor analogues of popular frequentist tests for independence of violations from, and for correct coverage of a ...
      Open Access
      Working Paper