Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...
Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing value-at-risk and expected shortfall through commonly used methods ...
Value-at-risk (VAR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the ...
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