Titlebook: Handbook of Computational and Numerical Methods in Finance; Svetlozar T. Rachev Book 2004 Birkhäser Boston 2004 Probability theory.algorit

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,Introduction: ,’ Small Universes,ing simulated data. Applications to financial time series are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are presented.

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https://doi.org/10.1007/978-0-8176-8180-7Probability theory; algorithms; calculus; ksa; numerical analysis; optimization; quantitative finance

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GARCH-Type Processes in Modeling Energy Prices, article compares the performance of normal GARCH models with the statistical properties of unconditional distribution models of energy returns. We then present the results of estimation of energy GARCH based on the stable distributed error term and compare the performance of normal GARCH and stable

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On Relation Betweeen Expected Regret and Conditional Value-at-Risk,erse statement is also valid, i.e., if a portfolio minimizes the expected regret, this portfolio can be found by doing a line search with respect to the CVaR confidence level. A portfolio, optimal in expected regret sense, is also optimal in CVaR sense for some confidence level. The relation of the

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