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Accelerating Value-at-Risk estimation on highly parallel architectures

โœ Scribed by M. F. Dixon; J. Chong; K. Keutzer


Book ID
112068904
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
356 KB
Volume
24
Category
Article
ISSN
1532-0626

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A Study of Value-at-Risk Based on M-Esti
โœ Farhat Iqbal; Kanchan Mukherjee ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 119 KB ๐Ÿ‘ 2 views

## ABSTRACT In this paper, we investigate the performance of a class of Mโ€estimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of valueโ€atโ€risk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and Bโ€estimator, as well