Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Christian Francq, Jean-Michel Zakoïan
| Year of publication: |
2020
|
|---|---|
| Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 356-380
|
| Subject: | Accuracy of VaR estimation | Dynamic portfolio | Estimation risk | Filtered historical simulation | Virtual returns | Simulation | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Schätzung | Estimation | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
Available at ZBW
Volumes
Volume 237 (2023) (2023)
- Call Number: YY 16497 (237.2023)
-
Status: to be lent for use in reading room
Volume 233 (2023) (2023)
- Call Number: YY 16497 (233.2023)
-
Status: to be lent for use in reading room
Volume 236 (2023) (2023)
- Call Number: YY 16497 (236.2023)
-
Status: to be lent for use in reading room
Volume 235 (2023) (2023)
- Call Number: YY 16497 (235.2023)
-
Status: to be lent for use in reading room
Volume 234 (2023) (2023)
- Call Number: YY 16497 (234.2023)
-
Status: to be lent for use in reading room
Volume 232 (2023) (2022)
- Call Number: YY 16497 (232.2023)
-
Status: to be lent for use in reading room
Volume 231 (2022) (2022)
- Call Number: YY 16497 (231.2022)
-
Status: to be lent for use in reading room
Volume 230 (2022) (2022)
- Call Number: YY 16497 (230.2022)
-
Status: to be lent for use in reading room
Volume 229 (2022) (2022)
- Call Number: YY 16497 (229.2022)
-
Status: to be lent for use in reading room
Volume 228 (2022) (2022)
- Call Number: YY 16497 (228.2022)
-
Status: to be lent for use in reading room
Volume not found? Order here.
Persistent link: https://www.econbiz.de/10012482777