Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
Year of publication: |
2009
|
---|---|
Authors: | Rombouts, Jeroen ; Verbeek, Marno |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 6, p. 737-745
|
Publisher: |
Taylor & Francis Journals |
Subject: | GARCH models | Multivariate volatility | Risk management | Time series analysis |
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