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~institution:"Society for Computational Economics - SCE"
~subject:"APARCH"
~subject:"multivariate GARCH"
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APARCH
multivariate GARCH
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
consistency
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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English
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Giot, Pierre
1
Rombouts, Jeroen VK
1
S»bastien Laurent
1
Verbeek, Marno
1
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Society for Computational Economics - SCE
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
3
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
1
Instituto Valenciano de Investigaciones Económicas (IVIE)
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
UNIVERSIDAD ICESI
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Computing in Economics and Finance 2001
1
Computing in Economics and Finance 2005
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1
Evaluating Portfolio
Value-at-Risk
using Semi-Parametric GARCH Models
Verbeek, Marno
;
Rombouts, Jeroen VK
-
Society for Computational Economics - SCE
-
2005
Value-at-Risk
(VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily …
Persistent link: https://www.econbiz.de/10005706293
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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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