A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model

Authors: Nikola Radivojevic, Luka Filipović, Tomislav Brzaković

Category: M20

First/Last Page - 5 / 21 Issue - 1 Volume - 23 Publisher - Romanian Journal of Economic Forecasting Year - 2020 ISSN - 1582-6163

Radivojevic, N., Filipović, L., & Brzaković, T. (2020). A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model. Romanian Journal of Economic Forecasting, 23(1), 5–21.

N. Radivojevic, L. Filipović, and T. Brzaković, "A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model," Romanian Journal of Economic Forecasting, vol. 23, no. 1, pp. 5–21, 2020.

@misc{Radivojevic2020ANewSemipa,
  author       = {Radivojevic, Nikola and Filipovi{\'c}, Luka and Brzakovi{\'c}, Tomislav},
  title        = {A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model},
  year         = {2020},
  publisher    = {Romanian Journal of Economic Forecasting},
  pages        = {5--21},
  note         = {Available online}
}