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Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and … approaches are verified using simulation experiments on synthetic data and validated on five publicly available datasets from …
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improvedimputation strategies. In a simulation study the authors compare six combinations of cross-sectional and longitudinal imputation … strategies for German wealth panel data. The authors create simulation data sets by blanking out observed data points: they …
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The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...
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