Xu, Jiahua - In: International Journal for Re-Views in Empirical … 3 (2019), pp. 1-20
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,...
