An optimization process in Value‐at‐Risk estimation
Tóm tắt
Tài liệu tham khảo
10.1016/j.jbankfin.2007.03.009
10.1016/0304-4076(86)90063-1
10.2469/faj.v56.n5.2385
10.2307/2527341
Cody W.J., 1969, Rational Chebyshev approximations for the error function, Mathematics of Computation, 23, 631, 10.1090/S0025-5718-1969-0247736-4
10.3905/jod.1997.407971
10.1198/073500104000000370
10.2469/faj.v58.n5.2465
10.1111/j.1540-6261.1993.tb05128.x
Hendricks D., 1996, Evaluation of value‐at‐risk models using historical data, FRBNY Economic Policy Review, 2, 39
10.1080/09603100701857906
10.3905/jod.1998.407998
10.1016/j.eneco.2007.11.004
10.1016/j.jempfin.2008.02.004
Jorion P., 2006, Value at risk: The new benchmark for managing financial risk
JP Morgan.RiskMetrics.1996 Technical Document New York
10.1016/j.jeconom.2008.12.002
10.1093/jjfinec/nbj002
10.1016/j.csda.2004.02.008
10.2469/faj.v57.n6.2490
10.1086/209695
10.1111/j.1540-6261.1952.tb01525.x
Markowitz H., 1959, Portfolio selection: Efficient diversification of investments
10.2143/AST.27.1.563210
10.1016/S0304-4076(01)00089-6
10.3905/jod.2000.319126
10.1016/j.ejor.2007.05.021
10.1016/j.frl.2008.12.002
10.1016/j.matcom.2007.02.008
10.1111/j.1468-036X.2008.00467.x
10.1016/j.frl.2009.03.004
Venkataraman S., 1997, Value at risk for a mixture of normal distributions: The use of quasi‐Bayesian estimation techniques, Economic Perspectives, 21, 2
10.2307/2347330