Approximating the probability distribution of functions of random variables: A new approach
Download full text from publisher
Other versions of this item:
- Anders Eriksson & Lars Forsberg & Eric Ghysels, 2004. "Approximating the Probability Distribution of Functions of Random Variables: A New Approach," CIRANO Working Papers 2004s-21, CIRANO.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 367-381.
- Lillestøl, Jostein, 2007.
"Some new bivariate IG and NIG-distributions for modelling covariate nancial returns,"
2007/1, Norwegian School of Economics, Department of Business and Management Science.
- Puzanova, Natalia & Siddiqui, Sikandar & Trede, Mark, 2009. "Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology," Journal of Financial Stability, Elsevier, vol. 5(4), pages 374-392, December.
More about this item
KeywordsApproximation of random variables;
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:feam04:503. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .
We have no references for this item. You can help adding them by using this form .