Robust inference of risks of large portfolios

DOI10.1016/j.jeconom.2016.05.008zbMath1443.62149arXiv1501.02382OpenAlexW3124623451WikidataQ39210750 ScholiaQ39210750MaRDI QIDQ308377

Byron Vickers, Fang Han, Han Liu, Jianqing Fan

Publication date: 6 September 2016

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

Full work available at URL: https://arxiv.org/abs/1501.02382

zbMATH Keywords

high dimensionalityrisk managementrobust inferencequantile statisticsrank statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) 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)

Related Items

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model, Unnamed Item, Inferential theory for generalized dynamic factor models

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