fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias …-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …

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 …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate … covariance estimation and the jump robustness of the estimator are illustrated in a simulation study. In an application to the …

with Sharpe's ratio, offering an approach to point and confidence interval estimation which employs bootstrap resampling …The Sharpe ratio is a common financial performance measure that represents the optimal risk versus return of an … issues surrounding its statistical properties. Given the importance of obtaining robust determinations of risk versus return …

situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk … ; Naive diversification ; Out-ofsample performance ; Risk function ; Shrinkage estimation …In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …

We investigate the impact of shrinkage estimation techniques for the moments of asset returns on risk-parity portfolios …. In contrast to mean-variance portfolios, the risk contributions of individual assets in risk-parity portfolios are fixed … a priori. This additional restriction stabilizes empirical portfolio weights in time. We show that the marginal risk …