the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

; Lien, 2002; Christensen and Platen, 2007). We employ a brief simulation study to assess the impact of deviations from …

VaR calculation that will be developed in the form of High-order kernel estimator of VaR with historical simulation method … with Historical Simulation estimation methods and the combination of high order kernels increase with increasing order … kernel estimates and tend to be larger than the Historical Simulation estimation methods. Statistical properties indicates …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration … model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model …. We distinguish between models with a normal and Student <I>t</I> distribution since the latter typically provides a …

implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …