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Improved estimation of portfolio value-at-risk under Copula models with mixed marginals
Miller, Douglas J.; Liu, Wei-han - In: The journal of futures markets 26 (2006) 10, pp. 997-1018
Persistent link: https://www.econbiz.de/10003391974
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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VaR/CVaR Estimation Under Stochastic Volatility Models
Han, Chuan-Hsiang - 2013
This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...
Persistent link: https://www.econbiz.de/10013088465
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The maximum entropy approach to estimation and inference : an overview
Golan, Amos - 1997
Persistent link: https://www.econbiz.de/10001336470
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Estimation of multi-output production functions with incomplete data : a generalised maximum entropy approach
Lence, Sergio H. - In: European review of agricultural economics : ERAE 25 (1998) 2, pp. 188-209
Persistent link: https://www.econbiz.de/10001243928
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An information theoretic approach to ecological estimation and inference
Judge, George G. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001794800
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Minimum divergence moment based binary response models : estimation and inference
Mittelhammer, Ron C.; Judge, George G.; Miller, Douglas J. - 2005
Persistent link: https://www.econbiz.de/10003718464
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Maximum entropy econometrics : robust estimation with limited data
Golan, Amos; Judge, George G.; Miller, Douglas J. - 1996
Persistent link: https://www.econbiz.de/10000927445