This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios,...

Copulas are an essential tool for the construction of non-standard multivariate probability distributions. In the actuarial and financial field they are particularly important because of their relationship with non-linear dependence and multivariate extreme value theory. In this paper we use a...

In this paper, we obtain new estimates on upper tail probabilities of suitable random series involving a distribution having an exponential tail. These estimates are exact, and the distribution is not heavy-tailed.

It is known that the analysis of short panel time series data is very important in many practical problems. This paper calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent replications of size 3. We further calculate the...