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~institution:"Society for Computational Economics - SCE"
~subject:"APARCH"
~subject:"consistency"
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APARCH
consistency
Value-at-Risk
5
ARCH Quantile Value-at-Risk
1
Applied Numerical Analysis
1
Expected Shortfall
1
Expected short-fall
1
GARCH
1
Quadratic Portfolios of Equities
1
Realized volatility
1
Skewed Student distribution
1
Value at Risk
1
`alpha-Quantile'
1
asset allocation
1
asymptotic normality
1
conditional quantiles
1
multivariate GARCH
1
persistence
1
quantile regression
1
quasi-maximum likelihood
1
semi-parametric estimation
1
short trading
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skewed Student distribution
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volatility components
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Giot, Pierre
1
Komunjer, Ivana
1
S»bastien Laurent
1
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Society for Computational Economics - SCE
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
2
Instituto Valenciano de Investigaciones Económicas (IVIE)
1
UNIVERSIDAD ICESI
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Computing in Economics and Finance 2001
1
Computing in Economics and Finance 2002
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The Alpha-Quantile Distribution Function and its Applications to Financial Modeling
Komunjer, Ivana
-
Society for Computational Economics - SCE
-
2002
Persistent link: https://www.econbiz.de/10005706623
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2
VALUE-AT-RISK
FOR LONG AND SHORT TRADING POSITIONS
Giot, Pierre
;
S»bastien Laurent
-
Society for Computational Economics - SCE
-
2001
In this paper we model
Value-at-Risk
(VaR) for daily stock index returns using a collection of parametric models of the …
Persistent link: https://www.econbiz.de/10005132864
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