Tag Archives: Forecasting and Prediction

New Approach to Density Estimation and Application to Value-at-Risk

Author(s): Kian-Guan Lim, Hao Cheng, Nelson KL Yap ABSTRACT The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivati​​ve function. The latter … Continue reading

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