Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall
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DOI: 10.1007/s10614-017-9661-0
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… read more here.
Keywords: randomized quasi; monte carlo; carlo methods; quasi monte ... See more keywords