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Data-analytic approaches to the estimation of Value-at-Risk
Jianqing Fan
, Juan Gu
Research output
:
Chapter in Book/Report/Conference proceeding
›
Conference contribution
3
Scopus citations
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Dive into the research topics of 'Data-analytic approaches to the estimation of Value-at-Risk'. Together they form a unique fingerprint.
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Keyphrases
Data Analytics
100%
Volatility
100%
At-risk
100%
Return Process
66%
Standardized Abnormal Returns
66%
Semi-parametric
33%
Confidence Level
33%
Nonparametric Methods
33%
Semi-parametric Approach
33%
Market Value
33%
Multiple Periods
33%
Parametric Technique
33%
Mathematics
Quantile
100%
Data Analytics
100%
Value at Risk
100%
Return Process
66%
Confidence Level
33%
Parametric
33%
Risk Measure
33%
Market Price
33%
Computer Science
Data Analytics
100%
Value at Risk
100%
Analytic Approach
100%
Confidence Level
50%
Economics, Econometrics and Finance
Data Analytics
100%