| Autor: |
Jiahua Xu |
| Jazyk: |
angličtina |
| Rok vydání: |
2019 |
| Předmět: |
|
| Zdroj: |
International Journal for Re-Views in Empirical Economics, Vol 3, Iss 2019-6, Pp 1-20 (2019) |
| Druh dokumentu: |
article |
| ISSN: |
2566-8269 |
| DOI: |
10.18718/81781.15 |
| Popis: |
This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios, which can be credited to the model’s uniqueness in combining strengths of both extreme value theory (EVT) models and other multivariate models. The author however discovers, in one instance, the infeasibility of the Dias model, and suggests a modification. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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