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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen - In: Computational economics 62 (2023) 3, pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
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Simulating and pricing CAT bonds using the spectral method based on Chebyshev basis
Aghdam, Y. Esmaeelzade; Neisy, A.; Adl, A. - In: Computational economics 63 (2024) 1, pp. 423-435
Persistent link: https://www.econbiz.de/10014472268
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A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar - In: Computational economics 60 (2022) 1, pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
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Impact of climate variables change on the yield of wheat and rice crops in Iran (application of stochastic model based on Monte Carlo simulation)
Javadi, Akram; Ghahremanzadeh, Mohammad; Sassi, Maria; … - In: Computational economics 63 (2024) 3, pp. 983-1000
Persistent link: https://www.econbiz.de/10014546237
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A new look at cross-country aggregation in the global VAR approach : theory and Monte Carlo simulation
Gündüz, Halil İbrahim; Emirmahmutoglu, Furkan; … - In: Computational economics 65 (2025) 1, pp. 21-67
Persistent link: https://www.econbiz.de/10015195756
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Approximate Bayesian estimation of stochastic volatility in mean models using hidden Markov models : empirical evidence from emerging and developed markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - In: Computational economics 64 (2024) 3, pp. 1775-1801
Persistent link: https://www.econbiz.de/10015143955
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The finite sample performance of instrumental variable-based estimators of the local average treatment effect when controlling for covariates
Bodory, Hugo; Huber, Martin; Lechner, Michael - In: Computational economics 64 (2024) 4, pp. 2053-2078
Persistent link: https://www.econbiz.de/10015143991
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Non-linear cointegration test, based on record counting statistic
Atil, Lynda; Fellag, Hocine; Sipols, Ana E.; … - In: Computational economics 64 (2024) 4, pp. 2205-2230
Persistent link: https://www.econbiz.de/10015144009