Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
Year of publication: |
2004-12
|
---|---|
Authors: | Rombouts, Jeroen V.K. ; Verbeek, Marno |
Institutions: | Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales) |
Subject: | multivariate GARCH | semi-parametric estimation | Value-at-Risk | asset allocation |
-
Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
Verbeek, Marno, (2009)
-
Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
Rombouts, J.V.K., (2009)
-
Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
Verbeek, Marno, (2005)
- More ...
-
Nonparametric density estimation for multivariate bounded data.
Bouezmarni, Taoufik, (2007)
-
Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.
Bouezmarni, Taoufik, (2007)
-
Theory and inference for a Markov switching Garch model.
Bauwens, Luc, (2007)
- More ...