GJR-GARCH model in value-at-risk of financial holdings
Year of publication: |
2011
|
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Authors: | Su, Yong-chern ; Huang, Han-Ching ; Lin, Y. J. |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 21.2011, 22/24, p. 1819-1829
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Subject: | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | ARCH-Modell | ARCH model |
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