Rombouts, J.V.K.; Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2009
Paper: Portfolio-analyse, parametrische modellen
Free keywords Multivariate GARCH, semi-parametric estimation, Value …: multivariate GARCH, semi-parametric estimation, Value-at-Risk, asset
allocation
JEL Classification: C14, C22, C53, G11.
2
1 … distribution to use
for which specific VaR level. The fact that semi-parametric estimation of the VaR domi-
nates parametric …