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 …

attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this … few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the … monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with …

investigated. The methods are based on a bootstrap algorithm that adjusts mean and skewness of the bootstrap distribution of the …

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo … simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical …

underestimate the tail risk. By contrast, the GARCH models with Student's t conditional distributions capture the tail shape more …

regardless of the form of distribution as a form of financial risk estimation. In this, research the size of the financial risk …Financial experts assume that measures the risk of financial asset returns generally have a normal distribution … risk of taking the measurements. For it is necessary to develop methods of risk measurement, VaR on asset returns …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied …