The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 46, No. 3 (September/septembre 2018), pp. 399-415 (17 pages) For sparse and high-dimensional data analysis, a valid ...
We suggest a new method for integrating volatility information for estimating the value-at-risk and conditional value-at-risk of a portfolio. This new method is developed from the perspective of ...
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