variance covarianceの例文

例文

1. The Variance Covariance and Historical Simulation, Monte-Carlo simulations with well-specified multivariate models are an excellent alternative.
2. Estimation of VaR or CVaR for large portfolios of assets using the Variance Covariance matrix may be inappropriate if the underlying returns distributions exhibit asymmetric dependence.
3. Not accounting for these attributes lead to severe estimation error in the correlation and Variance Covariance that have negative biases ( as much as 70 % of the true values ).
4. For example, to improve the estimation of the Variance Covariance matrix, one can generate a forecast of asset distributions via Monte-Carlo simulation based upon the Gaussian copula and well-specified marginals.