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Found 35 Documents (Results 1–35)

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Conditional value-at-risk under ellipsoidal uncertainties. (English) Zbl 1178.91083

Costantino, M. (ed.) et al., Computational finance and its applications III (Computional Finance 2008), Cádiz, Spain, May 27–29, 2008. Southampton: WIT Press (ISBN 978-1-84564-111-5/hbk). WIT Transactions on Information and communication Technologies 41, 217-226 (2008).
MSC:  91B30 91G10
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The VAR-VARCH model: A Bayesian approach. (English) Zbl 0884.62098

Lee, Jack C. (ed.) et al., Modelling and prediction: honoring Seymour Geisser. Proceedings of the conference on forecasting, prediction, and modelling in statistics and econometrics, Hsinchu, Taiwan, December 12–14, 1994. New York, NY: Springer. 402-422 (1996).
MSC:  62M10 62F15 62P05
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Gibbs sampling for ARCH models in finance. (English) Zbl 0840.62101

Kitsos, Christos P. (ed.) et al., MODA 4 - Advances in model-oriented data analysis. Proceedings of the 4th international workshop in Spetses, Greece, June 5-9, 1995. Heidelberg: Physica-Verlag. Contributions to Statistics. 251-260 (1995).
MSC:  62P20 91B84 62F15 91B28
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