Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics 6 (2018) 4, pp. 1-30
Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sources of uncertainty stems from the dependence of...