Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

DOI10.1016/j.jeconom.2018.03.018zbMath1452.62763OpenAlexW2797568934MaRDI QIDQ1644252

Christian Francq, Jean-Michel Zakoian

Publication date: 21 June 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.03.018

zbMATH Keywords

model riskelliptical distributionmultivariate GARCHdynamic portfoliominimum variance portfolioconfidence intervals for VaRfiltered historical simulation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

Virtual historical simulation for estimating the conditional VaR of large portfolios ⋮ An Extensive Comparison of Some Well‐Established Value at Risk Methods ⋮ Backtesting portfolio value‐at‐risk with estimated portfolio weights

Uses Software

• bootlib

Cites Work

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