ESTIMATION OF PORTFOLIO VALUE AT RISK BY MULTIVARIATE VOLATILITY MODELS

ESTIMATION OF PORTFOLIO VALUE AT RISK BY MULTIVARIATE VOLATILITY MODELS

Bachelor's

Saved in:

書目詳細資料
主要作者:	XIE YUFEI
其他作者:	MATHEMATICS
格式:	Theses and Dissertations
出版:	2021
在線閱讀:	https://scholarbank.nus.edu.sg/handle/10635/204507
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	National University of Singapore

相似書籍

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
由: YU, Jun, et al.
出版: (2004)

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
由: YU, Jun, et al.
出版: (2006)

COMPARATIVE RISK ANALYSIS BETWEEN THE MARKOWITZ QUADRATIC PROGRAMMING MODEL AND THE MULTIVARIATE COPULA MODEL FOR A SINGAPORE REITS PORTFOLIO
由: XIE JIEYI ESTHER
出版: (2014)

Risk management and portfolio optimization for agricultural commodity futures returns: Multivariate heterogeneous autoregressive realized volatility (MHAR-RV) approach
由: Tanapol Rattanasamakarn, et al.
出版: (2018)

Risk management and portfolio optimization for agricultural commodity futures returns: Multivariate heterogeneous autoregressive realized volatility (MHAR-RV) approach
由: Tanapol Rattanasamakarn, et al.
出版: (2018)

Risk management and portfolio optimization for agricultural commodity futures returns: Multivariate heterogeneous autoregressive realized volatility (MHAR-RV) approach
由: Rattanasamakarn T., et al.
出版: (2017)

Essays on multivariate stochastic volatility models
由: CHEN, Han
出版: (2020)

PORTFOLIO SELECTION: LOWER-TAIL DEPENDENCE AND MULTIVARIATE EXTREME VALUE THEORY
由: PANG QI HUNG NIGE
出版: (2021)

ESTIMATING PORTFOLIO VALUE-AT-RISK BY QUASI-MONTE CARLO SIMULATION AND KERNEL DENSITY ESTIMATE
由: TAY HUI SHAN
出版: (2021)

Multivariate stochastic volatility
由: ASAI, Manabu, et al.
出版: (2006)

Low risk, high return: Exploring the outperformance of value and momentum-driven low-volatility equity portfolios
由: Cabana, Gilbertm A., Jr., et al.
出版: (2017)

COMBINING MULTIVARIATE VOLATILITY FORECASTS IN A HIGH-DIMENSIONAL SETTING: DOES STATISTICAL PERFORMANCE TRANSLATE TO PORTFOLIO PERFORMANCE?
由: LIM ZHENG SEN, JOEL
出版: (2023)

Modeling Multivariate volatilities via most predictable factor
由: FU JINGYU
出版: (2010)

Performance of the global minimum variance portfolio : a study on correlation and volatility estimation.
由: Tan, Wei Hao., et al.
出版: (2012)

Multivariate stochastic volatility models based on generalized fisher transformation
由: CHEN, Han, et al.
出版: (2023)

Multivariate stochastic volatility: A review
由: ASAI, Manabu, et al.
出版: (2006)

Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
由: Apiwat Ayusuk, et al.
出版: (2018)

Copula based volatility models and extreme value theory for portfolio simulation with an application to asian stock markets
由: Ayusuk A., et al.
出版: (2017)

An empirical study on effect of estimation risk on portfolio risk.
由: Sarayut Nathapan
出版: (2014)

Determining the tracking error and value-at-risk of an active portfolio when combined with a passive portfolio with value-at-risk constraint
由: Nuttawoot Ladee
出版: (2020)

FORECASTING VALUE-AT-RISK AND EXPECTED SHORTFALL USING FRACTIONALLY INTEGRATED MODELS OF CONDITIONAL VOLATILITY: INTERNATIONAL EVIDENCE
由: XIE LEFAN
出版: (2021)

PORTFOLIO SELECTION WITH STOCHASTIC VOLATILITY
由: GUO YESHENG
出版: (2021)

Optimal Portfolios with Estimation Risk: The Singapore Case
由: Hui, T.K., et al.
出版: (1987)

PORTFOLIO OPTIMIZATION VIA PARTITIONED VALUE-AT-RISK AND MEAN-PARTITIONED VALUE-AT-RISK
由: LIM YUN XIAO
出版: (2021)

Volatility of mutual fund return, GARCH modeling and value at risk
由: Hsuan, Chiang Chung
出版: (2009)

The computation of value at risk under time varying volatility models
由: FONG SHUE YONG
出版: (2010)

Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
由: Jiechen Tang, et al.
出版: (2018)

Estimating risk of natural gas portfolios by using GARCH-EVT-Copula model
由: Jiechen Tang, et al.
出版: (2018)

Estimating Risk of Natural Gas Portfolios by Using GARCH-EVT-Copula Model
由: Jiechen Tang, et al.
出版: (2018)

Estimating risk of natural gas portfolios by using GARCH-EVT-Copula model
由: Jiechen Tang, et al.
出版: (2018)

EVALUASI MODEL SIMULASI HISTORIS VALUE AT RISK PORTFOLIO DENGAN METODE CHRISTOFFERSEN
由: , Maryanto, et al.
出版: (2014)

Tail mean-variance portfolio selection with estimation risk
由: Huang, Zhenzhen, et al.
出版: (2024)

MEASURING BOND PORTFOLIO RISK BASED ON VALUE AT RISK AND EXPECTED SHORTFALL
由: ALBERT CHRISTIAN
出版: (2021)

Risk management techniques in portfolio optimization : weighted conditional value at risk.
由: Fu, Jingyu.
出版: (2008)

PREDICTION OF VALUE-AT-RISK AND EXPECTED SHORTFALL AS RISK MEASURES FOR PORTFOLIO LOSS
由: Grace Sarah, Eunike

Estimation risk modeling in optimal portfolio selection: an empirical study from emerging markets.
由: Sarayut Nathaphan, et al.
出版: (2015)

VOLATILITY CHANGES THROUGH MARKOV SWITCHING ARCH MODEL FOR VALUE-AT-RISK PREDICTION
由: Nugroho, Setyo

PORTFOLIO VALUE-AT-RISK OPTIMISATION FOR ASYMMETRICALLY DISTRIBUTED ASSET RETURNS
由: RATIPORN TASANAWINYOU
出版: (2021)

THE SENSITIVITY OF CONDITIONAL VALUE AT RISK WITH RESPECT TO PARAMETERS OF PORTFOLIO RETURN
由: SUCITRO DWIJAYANA SIDHARTA
出版: (2021)

Portfolio value-at-risk optimization for asymmetrically distributed asset returns
由: GOH, Joel Weiqiang, et al.
出版: (2012)