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A sequential importance sampling for estimating multi-period tail risk
Seo, Ye-Ji
;
Kim, Sunggon
- In:
Risks : open access journal
12
(
2024
)
12
,
pp. 1-22
: Plain or
crude
Monte
Carlo
simulation
(CMC) is commonly applied for estimating multiperiod tail risk measures such as …
Persistent link: https://www.econbiz.de/10015328727
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