Similar Search Results

Narrow search

Implementing a Monte Carlo Simulation : Correlation, Skew, and Kurtosis

McCrary, Stuart - 2015

distributions, kurtotic distributions, or combinations of correlation, skew, and kurtosis …

Persistent link: https://www.econbiz.de/10013014820

Reducing Basel III Capital Requirements with Dynamic Conditional Correlation and Monte Carlo Simulation

Kleinknecht, Manuel - 2016

a multivariate Dynamic Conditional Correlation simulation approach reduce the capital requirements by about 11% … requirements. This paper analyses the efficiency of empirical, parametric and simulation based VaR and CVaR optimised portfolios on …

Persistent link: https://www.econbiz.de/10013001252

Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

Hanke, Michael - 2020

We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate … simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness …

Persistent link: https://www.econbiz.de/10012855299

A simple wavelet-based test for serial correlation in panel data models

Li, Yushu; Andersson, Fredrik N. G. - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2351-2363

Persistent link: https://www.econbiz.de/10012585570

A column-oriented optimization approach for the generation of correlated random vectors

Sefair, Jorge A.; Guaje, Oscar; Medaglia, Andrés L. - In: OR spectrum : quantitative approaches in management 43 (2021) 3, pp. 777-808

Persistent link: https://www.econbiz.de/10012622295

The effect of correlation and false negatives in pool testing strategies for COVID-19

Basso, Leonardo J.; Salinas, Vicente; Sauré, Denis; … - In: Health care management science : a new journal serving … 25 (2022) 1, pp. 146-165

Persistent link: https://www.econbiz.de/10013184886

Smoothing it Out : Empirical and Simulation Results for Disentangled Realized Covariances

Vander Elst, Harry - 2015

We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and...

Persistent link: https://www.econbiz.de/10013032702