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Copula sensitivity analysis for portfolio credit derivatives

Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466

Persistent link: https://www.econbiz.de/10014283065

Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall

Tzeng, Yu-Ying; Beaumont, Paul Michael; Ökten, Giray - In: Computational economics 52 (2018) 1, pp. 55-77

Persistent link: https://www.econbiz.de/10012052921

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

Fast and accurate computation of the distribution of sums of dependent log-normals

Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019

Persistent link: https://www.econbiz.de/10012116201

Testing stationarity with unobserved-components models

Morley, James C.; Panovska, Irina B.; Sinclair, Tara M. - In: Macroeconomic dynamics 21 (2017) 1, pp. 160-182

Persistent link: https://www.econbiz.de/10011686122

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10011809984