Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
Year of publication: |
2022
|
---|---|
Authors: | So, Mike Ka-pui ; Chan, Thomas W. C. ; Chu, Amanda M. Y. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 151-167
|
Subject: | Dynamic covariance modeling | Dynamic mapping | Multivariate GARCH | Risk contribution | Tail risk | Theorie | Theory | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Risiko | Risk | Korrelation | Correlation | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | CAPM | Schätzung | Estimation |
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