Missing Data in Value-at-Risk Analysis : Conditional Imputation in Optimal Portfolios Using Regression
A regression-based method is presented in order toregenerate missing data points in stock return time series. The method usesonly complete time series of assets in optimal portfolios, in which the returnsof the underlying tend to correlate inadequately with each other. The studyshows that the method...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122276 |