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Persistent link: https://www.econbiz.de/10005166798
Value at Risk (VaR) has been used as an important tool to measure the market risk under normal market. Usually the VaR of log returns is calculated by assuming a normal distribution. However, log returns are frequently found not normally distributed. This paper proposes the estimation approach...
Persistent link: https://www.econbiz.de/10010847975
dependency between variables, but are also more sensitive to noise. Furthermore computational complexity increases exponentially … equivalent for the reconstruction of Boolean functions. Secondly, we also investigate under which conditions (noise, number of …
Persistent link: https://www.econbiz.de/10010847673