VaR modelling on long run horizons

DOI10.1023/A:1024782117906MaRDI QIDQ2487620zbMATH OpenFDO

Authors Kostas Giannopoulos

Publication date 8 August 2005

Published in Automation and Remote Control (Search for Journal in Brave)

Mathematics Subject Classification ID

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Cited in

(13)

• LONG-RUN STRUCTURAL MODELLING
• Alternative modeling for long term risk
• Quermaßintegrals and asymptotic shape of random polytopes in an isotropic convex body
• Artifactual unit root behavior of value at risk (VaR)
• Estimation of VAR models: computational aspects
• Value–at–Risk Models
• Computational Science - ICCS 2004
• Non-parametric inference on risk measures for integrated returns
• Long run recursive VAR models and QR decompositions.
• MaxVaR with non-Gaussian distributed returns
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• The negative association property for the absolute values of random variables equidistributed on a generalized Orlicz ball
• On a general class of long run variance estimators

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