Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall
Year of publication: |
2018
|
---|---|
Authors: | Tzeng, Yu-Ying ; Beaumont, Paul Michael ; Ökten, Giray |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 52.2018, 1, p. 55-77
|
Subject: | Expected shortfall | Quasi-Monte Carlo | Randomized Quasi-Monte Carlo | Time series simulation | Value-at-risk | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Simulation | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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