VaR in High Dimensional Systems – a Conditional Correlation Approach

DOI10.1007/978-3-540-69179-2_4MaRDI QIDQ3542249zbMATH OpenOpenAlexFDO

Authors Helmut Herwartz, Bruno Pedrinha

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_4

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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(4)

• The structure of dynamic correlations in multivariate stochastic volatility models
• The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection
• Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
• On the appropriateness of inappropriate VaR models

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