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The Use of Importance Sampling in Bootstrap Simulations and in Moving Block Bootstrap Simulations for Efficient VaR Estimations
Umeå University, Faculty of Science and Technology, Department of Physics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Användningen av importance sampling i bootstrap simuleringar och moving block bootstrap simuleringar för effektiva VaR-skattningar (Swedish)
Place, publisher, year, edition, pages
2013.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-66587OAI: oai:DiVA.org:umu-66587DiVA: diva2:607754
Subject / course
Examensarbete i teknisk fysik
Educational program
Master of Science Programme in Engineering Physics
Uppsok
Physics, Chemistry, Mathematics
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Examiners
Available from: 2013-06-03 Created: 2013-02-25 Last updated: 2013-06-03Bibliographically approved

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Examensarbete(2092 kB)734 downloads
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File name FULLTEXT01.pdfFile size 2092 kBChecksum SHA-512
622bab29aba7f5822162df9747b5f71bb4124a1fa1dcdbfa571be2112f6aaa7f31d4735c85ee042c23c5744fc54bad92258591ba9f5fedb6a711ac3e22235803
Type fulltextMimetype application/pdf

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
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Output format
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