Dataset - ZBW Journal Data Archive

Peter Reinhard Hansen
;
Asger Lunde
;
Valeri Voev

REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized...

DOI:10.15456/jae.2022321.0714059738
- TXT
- XLSX
- mat
- ZIP
Jiahua Xu

Semiparametric Value-At-Risk Estimation of Portfolios

This MATLAB-code reproduces the results of Xu, Jiahua (2019). Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking &...

DOI:10.15456/iree.2018304.055009
- XLSX
- m
- mat