Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
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More about this item
Keywordsheteroscedastic asset returns; non-stationarity; nonparametric regression; volatility; innovation modelling; asymmetric heavy-tails; distributional forecast; Value at Risk (VaR);
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- 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
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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