semiparametric value-at-risk estimation of portfolios
Data and Resources
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Asset returns.xlsx
XLSX
Downloads: 78
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Portfolio returns.xlsx
XLSX
Downloads: 76
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Loss survival probability plot - code.m
m
Downloads: 33
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Loss survival probability plot and VaR.mat
mat
Downloads: 96
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LR test - function.m
m
Downloads: 32
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VaR (after plot) - code.m
m
Downloads: 31