Interval Estimation of Value-at-Risk Based on Nonparametric Models
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- Nick James & Max Menzies & Jennifer Chan, 2023. "Semi-Metric Portfolio Optimization: A New Algorithm Reducing Simultaneous Asset Shocks," Econometrics, MDPI, vol. 11(1), pages 1-33, March.
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Keywords
risk measures; quantile estimation; financial time series; Value-at-Risk; choquet integral; possibility theory; maxitive kernel; kernel estimation; parametric models;All these keywords.
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