2 papers
q-fin.RM2020
Dependent Conditional Value-at-Risk for Aggregate Risk Models
Bony Josaphat, Khreshna Syuhada
Risk measure forecast and model have been developed in order to not only provide better forecast but also preserve its (empirical) property especially coherent property. Whilst the…
math.ST2009
The Asymptotic Efficiency of Improved Prediction Intervals
Paul Kabaila, Khreshna Syuhada
Barndorff-Nielsen and Cox (1994, p.319) modify an estimative prediction limit to obtain an improved prediction limit with better coverage properties. Kabaila and Syuhada (2008) pre…