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Estimation and testing of portfolio Value-at-Risk based on L-comoment matrices

Liu, Wei-han - In: The journal of futures markets 30 (2010) 9, pp. 897-908

Persistent link: https://www.econbiz.de/10008900925

Do futures prices exhibit maturity effect? : a nonparametric revisit

Liu, Wei-han - In: Applied economics 46 (2014) 7/9, pp. 813-825

Persistent link: https://www.econbiz.de/10010398924

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

Improved estimation of portfolio value-at-risk under Copula models with mixed marginals

Miller, Douglas J.; Liu, Wei-han - In: The journal of futures markets 26 (2006) 10, pp. 997-1018

Persistent link: https://www.econbiz.de/10003391974

Estimation and Testing of Portfolio Value-at-Risk Based on L-Comoment Matrices

Liu, Wei-Han - 2009

This study employs L-comoments introduced by Serfling and Xiao (2007) into portfolio Value-at-Risk estimation through two models: the Cornish-Fisher expansion (Draper and Tierney 1973) and modified VaR (Zangari 1996). Backtesting outcomes indicate that modified VaR outperforms and L-comoments...

Persistent link: https://www.econbiz.de/10013156803