Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

The standard method for the comparison of two or more sample covariance matrices is the likelihood ratio test. The purpose of the present paper is to show how this test can be made more informative by ...

Aiming to make inferences about the spectral distribution of the population covariance matrix under such a situation, we establish an asymptotic relationship that describes how the limiting spectral ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...