Dataset - ZBW Journal Data Archive

Alexander Georges Gretener
;
Matthias Neuenkirch
;
Dennis Umlandt

Dynamic Mixture Vector Autoregressions with Score-Driven Weights (replication...

Dataset for "Dynamic mixture vector autoregressions with score-driven weights" by Dennis Umlandt, Matthias Neuenkirch and Alexander Georges Gretener (Journal of Applied...

DOI:10.15456/jae.2025028.1757909311
- TXT
- ZIP
Jiahua Xu

Semiparametric Value-At-Risk Estimation of Portfolios

This MATLAB-code reproduces the results of Xu, Jiahua (2019). Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking &...

DOI:10.15456/iree.2018304.055009
- XLSX
- m
- mat