Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Year of publication: |
2008
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Authors: | Hsu Ku, Yuan-Hung ; Wang, Jai Jen |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 15.2008, 7/9, p. 533-538
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Subject: | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Wechselkurs | Exchange rate | Korrelation | Correlation | Schätztheorie | Estimation theory | Schätzung | Estimation |
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