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scientific article; zbMATH DE number 1449652
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scientific article; zbMATH DE number 1449652 |
Statements
21 May 2000
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VaR
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GARCH
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forecasting
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portfolio
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risk
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covariance
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stochastic modelling
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performance measures
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0.8002530336380005
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0.7958235144615173
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0.7938163876533508
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0.7936801314353943
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0.7836771607398987
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Various models for forecasting losses and measuring the market risk of a portfolio are considered. Broad references to recent results and popular methodologies are given. The authors offer some innovations in stochastic modeling of financial time series and testing framework for new models. The absolute and relative performance of VaR estimates based on historical simulation, the rectangular and exponential moving averages, and the conditional variance forecasting by the GARCH processes are evaluated. Various applications with real data are given. Problems of stochastic errors in covariance matrix estimation are discussed. A number of comments on models and measures is given. For the entire collection see [Zbl 0929.00046].
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