In the process of assets selection and their allocation to the investment portfolio the most important factor issue thing is the accurate evaluation of the volatility of the return rate. In order to achieve stable and accurate estimates of parameters for contaminated multivariate normal...

The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels. A key issue in implementing VaR and related risk measures is to obtain...