Value-at Risk under Measurement Error
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- Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2024. "Value‐at‐Risk under Measurement Error," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
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More about this item
Keywords
Deconvolution kernel; Fourier transform; measurement errors; market microstructure noise; optimization; Value-at-Risk;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-04-01 (Econometrics)
- NEP-RMG-2024-04-01 (Risk Management)
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