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Can I read Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation on EtoBox?
Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation by David Ardia; Keven Bluteau; Lennart F. Hoogerheide is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation about?
Numerical standard error (NSE) is an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. We review standard methods for computing NSE and perform a Monte Carlo experiments to compare their performance in the case of high/extreme autocorrelation. In particular, we propose an application to risk management where we assess the precision of the value-at-risk measure when the underlying risk model is estimated by simulation-based methods. Overall, heteroscedasticity and autocorrelation estimators with prewhitening perform best in the presence of large/extreme autocorrelation.
Who reads Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- David Ardia; Keven Bluteau; Lennart F. Hoogerheide
- Publisher
- Walter de Gruyter GmbH
- Published
- 2018
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)