Rank: 1144 based on 72 downloads (last 30 days) and 6 files submitted
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Ali Najjar

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Professional Interests:
Actuarial Science, Copula

 

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Files Posted by Ali View all
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24 Jul 2011 Screenshot vcVaR Function Estimation value at risk by using Variance-Covariance Methods Author: Ali Najjar value at risk, var, variancecovariance 9 0
19 Jul 2011 fitparp function fitparp estimate the parameters of specified GARCH marginals models Author: Ali Najjar garch, gjr, var, value at risk, auto regressive garch, auto regressive gjr 7 0
19 Jul 2011 Screenshot Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average Author: Ali Najjar ewma, statistics, exponentially weighte..., var, finance, value at risk 19 1
  • 5.0
5.0 | 1 rating
14 Jul 2011 fitModelpp function is modified of fitModel function in the Dynamic Copula 3.0 Author: Ali Najjar garch, fitparp, gjr, var, value at risk 6 0
09 Jul 2011 Estimation value at risk by using Conditional Copula-GARCH Estimating VaR Author: Ali Najjar conditional copula ga..., var, guassian copula, garch, value at risk, finance 20 0
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14 Mar 2012 Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average Author: Ali Najjar Zhao, Yang

you mentioned that "cl" is confidence level vector, could you explain what's that mean?
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value at risk, var, garch, finance, conditional copula garch
Files Tagged by Ali View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
24 Jul 2011 Screenshot vcVaR Function Estimation value at risk by using Variance-Covariance Methods Author: Ali Najjar value at risk, var, variancecovariance 9 0
19 Jul 2011 fitparp function fitparp estimate the parameters of specified GARCH marginals models Author: Ali Najjar garch, gjr, var, value at risk, auto regressive garch, auto regressive gjr 7 0
19 Jul 2011 Screenshot Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average Author: Ali Najjar ewma, statistics, exponentially weighte..., var, finance, value at risk 19 1
  • 5.0
5.0 | 1 rating
14 Jul 2011 fitModelpp function is modified of fitModel function in the Dynamic Copula 3.0 Author: Ali Najjar garch, fitparp, gjr, var, value at risk 6 0
09 Jul 2011 Estimation value at risk by using Conditional Copula-GARCH Estimating VaR Author: Ali Najjar conditional copula ga..., var, guassian copula, garch, value at risk, finance 20 0

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