Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/129849
DC Field | Value | Language |
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dc.contributor | 風管系 | |
dc.creator | 曾毓英 | |
dc.creator | Tzeng, Yu-Ying | |
dc.creator | Beaumont, Paul M. | |
dc.creator | Ökten , Giray | |
dc.date | 2018 | |
dc.date.accessioned | 2020-05-26T05:38:00Z | - |
dc.date.available | 2020-05-26T05:38:00Z | - |
dc.date.issued | 2020-05-26T05:38:00Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/129849 | - |
dc.description.abstract | Quasi-Monte Carlo methods are designed to produce efficient estimates of simulated values but the error statistics of these estimates are difficult to compute. Randomized quasi-Monte Carlo methods have been developed to address this shortcoming. In this paper we compare quasi-Monte Carlo and randomized quasi-Monte Carlo techniques for simulating time series. We use randomized quasi-Monte Carlo to compute value-at-risk and expected shortfall measures for a stock portfolio whose returns follow a highly nonlinear Markov switching stochastic volatility model which does not admit analytical solutions for the returns distribution. Quasi-Monte Carlo methods are more accurate but do not allow the computation of reliable confidence intervals about risk measures. We find that randomized quasi-Monte Carlo methods maintain many of the advantages of quasi-Monte Carlo while also providing the ability to produce reliable confidence intervals of the simulated risk measures. However, the advantages in speed of convergence of randomized quasi-Monte Carlo diminish as the forecast horizon increases. | |
dc.format.extent | 1590589 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Computational Economics, Vol.52, pp.55-77 | |
dc.subject | Quasi-Monte Carlo ; Randomized Quasi-Monte Carlo ; Time series simulation ; Value-at-risk ; Expected shortfall | |
dc.title | Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall | |
dc.type | article | |
dc.identifier.doi | 10.1007/s10614-017-9661-0 | |
dc.doi.uri | https://doi.org/10.1007/s10614-017-9661-0 | |
item.grantfulltext | restricted | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
Appears in Collections: | 期刊論文 |
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