Simulating risk measures via asymptotic expansions for relative errors (Q6054368): Difference between revisions

@@ Property / cites work @@
+Logconcavity versus logconvexity: A complete characterization
+Normal rank
@@ Property / cites work @@
+Bayesian robustness modeling using regularly varying distributions
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+An efficient approach to quantile capital allocation and sensitivity analysis
+Normal rank
@@ Property / cites work @@
+On the inefficiency of state-independent importance sampling in the presence of heavy tails
+Normal rank
@@ Property / cites work @@
+Estimation of unimodal densities without smoothness assumptions
+Normal rank
@@ Property / cites work @@
+State-dependent importance sampling for regularly varying random walks
+Normal rank
@@ Property / cites work @@
+Basic properties of strong mixing conditions. A survey and some open questions
+Normal rank
@@ Property / cites work @@
+Uniform strong estimation under \(\alpha\)-mixing, with rates
+Normal rank
@@ Property / cites work @@
+Q4230831
@@ Property / cites work: Q4230831 / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness and sensitivity analysis of risk measurement procedures
+Normal rank
@@ Property / cites work @@
+Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
+Normal rank
@@ Property / cites work @@
+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
+Normal rank
@@ Property / cites work @@
+ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
+Normal rank
@@ Property / cites work @@
+Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors
+Normal rank
@@ Property / cites work @@
+Variance Reduction Techniques for Estimating Value-at-Risk
+Normal rank
@@ Property / cites work @@
+Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
+Normal rank
@@ Property / cites work @@
+Exact convergence rate of bootstrap quantile variance estimator
+Normal rank
@@ Property / cites work @@
+Data-driven bandwidth choice for density estimation based on dependent data
+Normal rank
@@ Property / cites work @@
+Quantile Estimation in Dependent Sequences
@@ Property / cites work: Quantile Estimation in Dependent Sequences / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation Run Length Control in the Presence of an Initial Transient
+Normal rank
@@ Property / cites work @@
+On importance sampling with mixtures for random walks with heavy tails
+Normal rank
@@ Property / cites work @@
+Probabilistic Error Bounds for Simulation Quantile Estimators
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+On the Measurement of Economic Tail Risk
@@ Property / cites work: On the Measurement of Economic Tail Risk / rank @@
+Normal rank
@@ Property / cites work @@
+External Risk Measures and Basel Accords
@@ Property / cites work: External Risk Measures and Basel Accords / rank @@
+Normal rank
@@ Property / cites work @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of jump diffusions in finance and economics
+Normal rank
@@ Property / cites work @@
+The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling
+Normal rank
@@ Property / cites work @@
+Q3209431
@@ Property / cites work: Q3209431 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+Bernstein inequality and moderate deviations under strong mixing conditions
+Normal rank
@@ Property / cites work @@
+Maximum variance of order statistics
@@ Property / cites work: Maximum variance of order statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate distributions of order statistics. With applications to nonparametric statistics
+Normal rank
@@ Property / cites work @@
+Q3290160
@@ Property / cites work: Q3290160 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
+Normal rank
@@ Property / cites work @@
+Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
+Normal rank
@@ Property / cites work @@
+On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
+Normal rank
@@ Property / cites work @@
+The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
+Normal rank