9 citations · 16 across the 3 of their papers we have counts for
3 papers
stat.AP2016★ 6 cited
Modeling Dependence Dynamics of Air Pollution: Pollution Risk Simulation and Prediction of PM Levels
Halis Sak, Guanyu Yang, Bailiang Li +1
The first part of this paper introduces a portfolio approach for quantifying the risk measures of pollution risk in the presence of dependence of PM concentration of cities…
q-fin.RM2015★ 9 cited
Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk
Halis Sak, İsmail Başoğlu
We consider the problem of simulating loss probabilities and conditional excesses for linear asset portfolios under the t-copula model. Although in the literature on market risk ma…
stat.CO2012★ 1 cited
Simulating the Continuation of a Time Series in R
Halis Sak, Wolfgang Hörmann
The simulation of the continuation of a given time series is useful for many practical applications. But no standard procedure for this task is suggested in the literature. It is t…