Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Christian Francq, Jean-Michel Zakoïan
| Year of publication: |
2018
|
|---|---|
| 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 | Schätztheorie | Estimation theory | Simulation | VAR-Modell | VAR model | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.03.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110307