Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252): Difference between revisions
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Revision as of 08:43, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models |
scientific article |
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Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (English)
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21 June 2018
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confidence intervals for VaR
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dynamic portfolio
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elliptical distribution
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filtered historical simulation
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minimum variance portfolio
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model risk
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multivariate GARCH
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