An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form …, which will direct MV portfolio estimation. We provide the limiting behavior of the quadratic form with the sample spectrally … proportionally with the sample size. Moreover, this paper deduces the limiting behavior of the expected return and risk on the …

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The …