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Search: subject:"Markov Chain Monte Carlo (MCMC)"
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Risikomaß
Monte Carlo simulation
32
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Markov chain Monte Carlo (MCMC)
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Markov Chain Monte Carlo (MCMC)
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Ardia, David
1
Bluteau, Keven
1
Haugh, Martin B.
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Hu, Jiaqi
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Journal of time series econometrics
1
The journal of computational finance
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The journal of operational risk
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ECONIS (ZBW)
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Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
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2
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
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3
A generalized risk budgeting approach to portfolio construction
Haugh, Martin B.
;
Iyengar, Garud
;
Song, Irene
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 29-60
Persistent link: https://www.econbiz.de/10011848310
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