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~institution:"Society for Computational Economics - SCE"
~subject:"APARCH"
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APARCH
Value-at-Risk
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ARCH Quantile Value-at-Risk
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Applied Numerical Analysis
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Expected Shortfall
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Expected short-fall
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GARCH
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Quadratic Portfolios of Equities
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Realized volatility
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Skewed Student distribution
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`alpha-Quantile'
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asset allocation
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asymptotic normality
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conditional quantiles
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consistency
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multivariate GARCH
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persistence
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quantile regression
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quasi-maximum likelihood
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semi-parametric estimation
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short trading
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skewed Student distribution
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Giot, Pierre
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S»bastien Laurent
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Society for Computational Economics - SCE
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Instituto Valenciano de Investigaciones Económicas (IVIE)
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Computing in Economics and Finance 2001
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VALUE-AT-RISK
FOR LONG AND SHORT TRADING POSITIONS
Giot, Pierre
;
S»bastien Laurent
-
Society for Computational Economics - SCE
-
2001
In this paper we model
Value-at-Risk
(VaR) for daily stock index returns using a collection of parametric models of the …
Persistent link: https://www.econbiz.de/10005132864
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