37469 Ergebnisse
Sortierung:
SSRN
In: The Econometrics Journal, Band 16, Heft 3, S. 340-372
SSRN
In: Journal of Time Series Analysis, Band 39, Heft 3, S. 251-272
SSRN
In: School of Economics discussion paper 95/19
In: Environmental science and pollution research: ESPR, Band 26, Heft 9, S. 8552-8574
ISSN: 1614-7499
In: Journal for studies in economics and econometrics: SEE, Band 26, Heft 2, S. 19-37
ISSN: 0379-6205
SSRN
Working paper
In: International journal of forecasting, Band 24, Heft 3, S. 535-550
ISSN: 0169-2070
In: The Indian economic journal, Band 47, Heft 1, S. 56-67
ISSN: 2631-617X
In: Economica, Band 24, Heft 94, S. 178
In: Vestnik Volgogradskogo gosudarstvennogo universiteta. Serija 2, Jazykoznanie = Lingustics, Heft 3, S. 24-34
ISSN: 2409-1979
In: Economic notes, Band 30, Heft 2, S. 167-181
ISSN: 1468-0300
VaR (value‐at‐risk) estimates are currently based on two main techniques: the variance‐covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a new technique – filtered historical simulation (FHS) – designed to remedy some of the shortcomings of the simulation approach. We compare the estimates it produces with traditional bootstrapping estimates.(J.E.L.: G19).
SSRN
In: Empirical Economics, Forthcoming
SSRN
In: Communications in statistics. Theory and methods, Band 45, Heft 2, S. 385-399
ISSN: 1532-415X