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Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...

Persistent link: https://www.econbiz.de/10011979983

Importance sampling for jump-diffusions via cross-entropy

Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130

Persistent link: https://www.econbiz.de/10011890185

Rare-event simulation for distribution networks

Blanchet, Jose; Li, Juan; Nakayama, Marvin K. - In: Operations research 67 (2019) 5, pp. 1383-1396

Persistent link: https://www.econbiz.de/10012107789

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

Improved variance reduced Monte-Carlo simulation of in-the-money options

Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367

Persistent link: https://www.econbiz.de/10011583475

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687

Persistent link: https://www.econbiz.de/10011550112

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

On variance reduction of mean-CVaR Monte Carlo estimators

Kozmík, Václav - In: Computational Management Science : CMS 12 (2015) 2, pp. 221-242

Persistent link: https://www.econbiz.de/10010513412

Simulating risk contributions of credit portfolios

Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10010519509

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