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DOI:10.15456/iree.2018304.055009
Jiahua Xu

semiparametric value-at-risk estimation of portfolios

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  • Asset returns.xlsx XLSX Popular

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  • Portfolio returns.xlsx XLSX Popular

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  • Loss survival probability plot and VaR.mat mat Popular

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Xu, Jiahua (2019): Semiparametric Value-At-Risk Estimation of Portfolios. Version: 1. International Journal for Re-Views in Empirical Economics. Dataset. http://dx.doi.org/10.15456/iree.2018304.055009

Related Publication

doi: 10.18718/81781.15

Tags

  • Multi-asset ...
  • Multivariate...
  • Replication ...
  • Risk management
  • Tail probabi...
  • Tail risk
  • Value-at-Risk

JEL Codes

  • C51
  • G01
  • G11
  • G17
iree

International Journal for Re-Views in Empirical Economics

The International Journal for Re-Views in Empirical Economics (IREE) is the first journal for the publication of replication studies based on micro economic data. Furthermore, IREE

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