Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Year of publication: |
2020
|
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Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 356-380
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Subject: | Accuracy of VaR estimation | Dynamic portfolio | Estimation risk | Filtered historical simulation | Virtual returns | Simulation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Schätzung | Estimation | VAR-Modell | VAR model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
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