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The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for...
Persistent link: https://www.econbiz.de/10015221253
The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for...
Persistent link: https://www.econbiz.de/10015225264
Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion....
Persistent link: https://www.econbiz.de/10015251879
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance,...
Persistent link: https://www.econbiz.de/10009439453
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a Cholesky-GARCH model, based on the Cholesky decomposition of the conditional variance matrix introduced by Pourahmadi (1999) in the context of longitudinal data. We derive stationarity and...
Persistent link: https://www.econbiz.de/10015258935