Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter ...
Muhammad Sumair, Tauseef Aized, Syed Asad Raza Gardezi, Muhammad Mahmood Aslam Bhutta, Syed Ubaid ur Rehman, Syed Muhammad Sohail Rehman Energy Exploration & Exploitation, Vol. 39, No. 5 (September ...
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