A computational study of a quasi-PORT methodology for VaR...

Journal of Statistical Computation and Simulation 2012 / 04 Vol. 82; Iss. 4

A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation

Figueiredo, Fernanda, Gomes, M. Ivette, Henriques-Rodrigues, Lígia, Miranda, M. Cristina
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Volume:
82
Language:
english
Journal:
Journal of Statistical Computation and Simulation
DOI:
10.1080/00949655.2010.547196
Date:
April, 2012
File:
PDF, 634 KB
english, 2012
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