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Evaluating portfolio value-at-risk using semi-parametric GARCH models

ROMBOUTS, Jeroen VK; VERBEEK, Marno - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010704089

Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models

Verbeek, Marno; Rombouts, Jeroen VK - Society for Computational Economics - SCE - 2005

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S\&P 500 and Nasdaq indexes. Examining the...

Persistent link: https://www.econbiz.de/10005706293

Semiparametric multivariate density estimation for positive data using copulas

BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926191

On marginal likelihood computation in change-point models

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926479

Bayesian inference for the mixed conditional heteroskedasticity model

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926803

Multivariate GARCH models: a survey

BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010927172

Bayesian clustering of many GARCH models

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010927237

Nonparametric density estimation for multivariate bounded data

BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010927283

On marginal likelihood computation in change-point models

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010674931

Bayesian clustering of many GARCH models

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010674945