Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Year of publication: |
2018
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Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 2, p. 381-401
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Subject: | Confidence intervals for VaR | Dynamic portfolio | Elliptical distribution | Filtered historical simulation | Minimum variance portfolio | Model risk | Multivariate GARCH | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model | Simulation | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility |
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