importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on …

importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on …

financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … observations in a fixed time interval increases to infinity. Our large deviation result can be used to evaluate tail probabilities … existing asymptotic theory on high frequency data. In addition, the paper contributes to the literature of large deviation …

and model revision. We show that as the agent applies an increasingly stringent specification test, the large deviation …

For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme …