Portfolio Value at Risk Based on Independent Components Analysis
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References listed on IDEAS
- Ying Chen & Wolfgang Härdle & Seok-Oh Jeong, 2004. "Nonparametric Risk Management with Generalized Hyperbolic Distributions," SFB 649 Discussion Papers SFB649DP2005-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2005.
- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
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- Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 8(4), pages 3-17.
More about this item
Keywordsindependent component analysis; Value-at-Risk;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-CMP-2006-01-24 (Computational Economics)
- NEP-FIN-2006-01-24 (Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
- NEP-RMG-2006-01-24 (Risk Management)
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