Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252)
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scientific article; zbMATH DE number 6892675
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| English | Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models |
scientific article; zbMATH DE number 6892675 |
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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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0.8997061
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0.8888551
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0.88509166
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0.8837596
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0.8796451
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0.87906057
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0.87879986
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0.8782187
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