Statistical bootstrapping methods in VaR calculation
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- scientific article; zbMATH DE number 1304671
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- scientific article; zbMATH DE number 865685
- Bootstrap variance estimators with truncation
Cites work
- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 4088699 (Why is no real title available?)
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- scientific article; zbMATH DE number 3354425 (Why is no real title available?)
- The bootstrap and Edgeworth expansion
- The pricing of options and corporate liabilities
- Uniformly distributed sequences with an additional uniform property
Cited in
(5)- Monte Carlo within a day
- Usefulness of bootstrapping in portfolio management
- Using the bootstrap to estimate the variance in the case of undermodeling
- Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
- A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
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