An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Keith K. F. Law, Wai Keung Li and Philip L. H. Yu
| Year of publication: |
2020
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|---|---|
| Authors: | Law, Keith K. F. ; Li, Wai Keung ; Yu, Philip L. H. |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 14.2020, 2, p. 21-39
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| Subject: | portfolio value-at-risk (VaR) | dynamic covariance modeling | empirical evaluation; shrinkage | regularization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätztheorie | Estimation theory | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2020.221 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014335946