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A note on bias and mean squared error in steady-state quantile estimation

Muñoz, David F.; Ramírez-López, Adán - In: Operations research letters 43 (2015) 4, pp. 374-377

Persistent link: https://www.econbiz.de/10011372470

A Bayesian framework for quantifying uncertainty in stochastic simulation

Xie, Wei; Nelson, Barry L.; Barton, Russell R. - In: Operations research 62 (2014) 6, pp. 1439-1452

Persistent link: https://www.econbiz.de/10010471836

Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation

Shi, Wen; Chen, Xi - In: Naval research logistics : an international journal 65 (2018) 3, pp. 218-241

Persistent link: https://www.econbiz.de/10012166187

Efficient VaR and CSaR measurement via stochastic kriging

Chen, Xi; Kim, Kyoung-Kuk - In: INFORMS journal on computing : JOC 28 (2016) 4, pp. 629-644

Persistent link: https://www.econbiz.de/10011617535

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

A tailor-made test of intransitive choice

Baillon, Aurélien; Bleichrodt, Han; Cillo, Alessandra - In: Operations research 63 (2015) 1, pp. 198-211

Persistent link: https://www.econbiz.de/10010519495

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

Persistent link: https://www.econbiz.de/10011301159

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Deriving a lower bound for the proportion of perceivers in replicated difference tests by means of multiple test theory

Meyners, Michael - 2002

Analyzing repeated difference tests aims in significance testing for differences as well as in estimating the mean discrimination ability of the consumers. In addition to the average success probability, the proportion of consumers that may detect the difference between two products and...

Persistent link: https://www.econbiz.de/10009770524

A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

Persistent link: https://www.econbiz.de/10010355970

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