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- W2394188614 abstract "In this paper,we discuss the meaning of using forecast combination approach to improve the forecast performance of Value-at-Risk, present the method of estimating VaR forecast combination weights and give out the related empirical study.The two individual VaR approaches are historical simulation approach and RiskMetrics approach respectively,and the weights of forecast combination are obtained by quantile regression technique.The empirical study on the Shanghai Composite Index shows that the suitable VaR forecast combination can significantly improve VaR out-of-sample forecast performance." @default.
- W2394188614 created "2016-06-24" @default.
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- W2394188614 date "2008-01-01" @default.
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- W2394188614 title "Forecast Combination of Value-at-Risk" @default.
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