Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall
Yu-Ying Tzeng, Paul M. Beaumont, Giray Ökten
| Year of publication: |
2018
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|---|---|
| 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
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| Subject: | Expected shortfall | Quasi-Monte Carlo | Randomized Quasi-Monte Carlo | Time series simulation | Value-at-risk | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Simulation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9661-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012052921