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

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