HAL (France)
open access
Dynamic Value at Risk Estimation in Multi-Functional Volterra Time-Series Model (MFVTSM)
In this paper, we aim to provide a new algorithm for managing financial risk in portfolios containing multiple high-volatility assets. We assess the variability of volatility with the Volterra model, and we construct an estimator of the Value-at-Risk (VaR) function using quantile regression. Because
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