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Estimation theory 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Sampling 1 Schätztheorie 1 Simulation 1 Statistical distribution 1 Statistische Verteilung 1 Stichprobenerhebung 1 crude Monte Carlo simulation 1 multi-period tail risk 1 sequential importance sampling 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Kim, Sunggon 1 Seo, Ye-Ji 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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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 value-at-risk (VaR) and expected shortfall (ES). After fitting a volatility model to the past history of returns and estimating the conditional distribution of innovations, one...
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