A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
Year of publication: |
2006
|
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Authors: | Lee, Mingchih ; Chiou, Jer-shiou ; Lin, Cho-min |
Published in: |
Applied financial economics letters. - Abingdon : Routledge, ISSN 1744-6546, ZDB-ID 2175172-9. - Vol. 2.2006, 3, p. 183-188
|
Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Multivariate Analyse | Multivariate analysis |
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