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Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling
Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003774522
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Spline smoothing over difficult regions : a state space approach
Koopman, Siem Jan; Wong, Soon Yip - 2008
Persistent link: https://www.econbiz.de/10003811428
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The pricing of bank debt guarantees
Arping, Stefan - 2009
Persistent link: https://www.econbiz.de/10003860987
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The cross-entopy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
Persistent link: https://www.econbiz.de/10003888073
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Examing the Nelson-Siegel class of term structure models : in-sample fit versus out-of-sample forecasting performance
Pooter, Michiel de - 2007
Persistent link: https://www.econbiz.de/10003482682
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
Persistent link: https://www.econbiz.de/10003913176
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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
Persistent link: https://www.econbiz.de/10003934133
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Directed search in the housing market
Albrecht, James W.; Gautier, Pieter; Vroman, Susan B. - 2010
Persistent link: https://www.econbiz.de/10003934200
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Models with time-varying mean and variance : a robust analysis of US industrial production
Bos, Charles S.; Koopman, Siem Jan - 2010
Persistent link: https://www.econbiz.de/10003973299
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
Persistent link: https://www.econbiz.de/10003973316