Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Zi-Yi Guo
| Year of publication: |
2020
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|---|---|
| Authors: | Guo, Zi-Yi |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 23.2020/2021, 2, p. 71-104
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| Subject: | mean reversion | small sample bias | value-at-risk | potential future exposure | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Schätzung | Estimation | Systematischer Fehler | Bias | Mean Reversion | Mean reversion | Messung | Measurement | Stichprobenerhebung | Sampling | Portfolio-Management | Portfolio selection | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.445 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500264