Pages that link to "Item:Q1644252"
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The following pages link to Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252):
Displaying 12 items.
- Conditional value-at-risk: semiparametric estimation and inference (Q311646) (← links)
- Statistically efficient construction of \(a\)-risk-minimizing portfolio (Q444218) (← links)
- Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766) (← links)
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
- Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
- A multivariate FGD technique to improve VaR computation in equity markets (Q2477608) (← links)
- Value at risk for integrated returns and its applications to equity portfolios (Q2828621) (← links)
- Semiparametric estimation of Value at Risk (Q4458356) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- Computational aspects of portfolio risk estimation in volatile markets: a survey (Q5881677) (← links)
- An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259) (← links)
