Speeding Up VAR with Smart Monte Carlo

We show that VAR calculation speedup of an order of magnitude can be obtained using Smart Monte Carlo with a sophisticated interpolator. As a byproduct, we give some encouraging numerical results for evaluating N-dimensional Gaussian integrals without doing any integrals at all

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Year of publication:	2018
Authors:	Dash, Jan
Other Persons:	Zhang, Xinchong (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Monte-Carlo-Simulation \| Monte Carlo simulation \| VAR-Modell \| VAR model \| Theorie \| Theory \| Risikomaß \| Risk measure

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Extent:	1 Online-Ressource (34 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 22, 2018 erstellt
Other identifiers:	10.2139/ssrn.3128331 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012926810