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- Table IX displays the expected tail loss for different confidence levels for each of the four portfolios.
- Appendix A – Time-series of portfolio returns and Value-at-Risk
- Appendix B – Conditional mean and variance selection criteria
- Appendix C – EViews code used
- Unconditional VaR using bootstrap simulation
- series vol_f=@coefs(2)+@coefs(3)*resid_d(-1)*resid(-1)^2+@coefs(4)*std(-1)^2
- McNeil, A and Frey, R. (2000), Estimation of Tail-Related Risk Measures for Heteroscedastic 代写Financial Time Series: An Extreme Value Approach, Journal of Empirical Finance.
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