Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
distributions for market risk management:
fully nonparametric historical simulation methods and semiparametric … VaR prediction intervals are nearly 20% narrower and 50%
less volatile than classical ones. In risk management, the … dynamics of equity and index
returns; see for instance Engle and Ng (1993) and Engle and Rosenberg (2002). To our knowledge …