Statistical methods for large portfolio risk management

DOI10.4310/SII.2013.V6.N4.A6zbMATH Open1326.91037MaRDI QIDQ896585

Jian Zou, Yu Wang

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

Mathematics Subject Classification ID

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) Non-Markovian processes: estimation (62M09) Portfolio theory (91G10)

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