Financial Valuation and Risk Management Working Paper No . 454 CHICAGO : A Fast and Accurate Method for Portfolio Risk Calculation

By Simon A. Broda, Marc S. Paolella. 2008

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1. Jan Gasthaus
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4. Laurent Callot
5. Roberto Medico
6. Bernie Wang
7. Tim Januschowski
8. Bryan Lim

Citations in the corpus

• High-Dimensional Multivariate Forecasting with Low-Rank Gaussian Copula Processes (2019, methodology): “multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models [2].”
• Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “More recently, it has been proposed that U can be estimated by independent component analysis (ICA) (Broda and Paolella, 2009; Zhang and Chan, 2009) which is the approach taken in this paper 3 .”