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

Keyphrases

• At-risk 100%
• Dynamic Covariance 100%
• Large-scale Dynamics 100%
• Portfolio Values 100%
• Covariance Model 100%
• Denoising 80%
• Covariance 40%
• Theory Method 40%
• Loss Function 40%
• Test Functions 40%
• Covariance Matrix 40%
• Shrinkage Methods 40%
• Regularization Method 40%
• Random Matrix Theory 40%
• Coverage Test 40%
• Coverage Loss 40%
• Copyright 20%
• Matrix-based 20%
• Dynamic Conditional Covariance 20%
• Dynamic Portfolio 20%
• Rolling Window 20%
• Sample Covariance Matrix 20%
• Digital Risks 20%

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%

Computer Science

• Value at Risk 100%
• de-noising 80%
• Covariance Matrix 40%
• Regularization Method 40%
• Coverage Test 40%
• Sample Covariance Matrix 20%