A modified sequential Monte Carlo procedure for the efficient recursive estimation of extreme quantiles-Reference-Cited by-同舟云学术

A modified sequential Monte Carlo procedure for the efficient recursive estimation of extreme quantiles

Published:2019-02-12 Issue:5 Volume:38 Page:390-399
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Neslihanoglu Serdar¹^ORCID,Date Paresh²

Affiliation:

1. Department of Statistics, Faculty of Science and Letters; Eskisehir Osmangazi University; Eskisehir Turkey

2. Department of Mathematics, College of Engineering, Design and Physical Sciences; Brunel University; London UK

Funder

Eskisehir Osmangazi University Scientific Research Fund

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2568/fullpdf

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4. An empirical comparison of alternative models of the short-term interest rate;Chan;Journal of Finance,1992

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