their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … simulation design inspired by an analysis of the (non-)invariance properties of estimators and occasionally by available higher …

accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of …

takes into account simulation noise under the assumption of overlapping simulation draws. We show that as long as the number … of simulation draws $R$ and the number of markets $T$ approach infinity, our estimator is $\sqrt …

The purpose of this paper is to present a comprehensive Monte Carlo simulation study on the performance of minimum …

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 …