An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation

Mathematics

• Value at Risk 100%
• Covariance Model 100%
• Covariance Matrix 40%
• Conditionals 40%
• Regularization 40%
• Loss Function 40%
• test function φ 40%
• Random Matrix Theory 40%
• Covariance 40%
• Sample Covariance Matrix 20%

Keyphrases

• Coverage Testing 40%
• Loss of Coverage 40%