Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk (Q4960660)
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scientific article; zbMATH DE number 7192642
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| English | Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk |
scientific article; zbMATH DE number 7192642 |
Statements
Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk (English)
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23 April 2020
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forecast density
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MGARCH
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minimum variance portfolio
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outliers
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VaR
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0.8642049
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0.85922116
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0.85898566
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0.8497622
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0.8487815
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0.8444433
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