Mencía, Javier; Sentana, Enrique - 2008
combination of the returns on those primitive assets. For the same
reason, Proposition 2 is very useful for risk management … distribution of financial returns (see e.g.
Prause, 1998), to the best of our knowledge it has not yet been used in its more … models with time-varying covariances. Econometric Reviews 11,
143–172.
Cajigas, J. and G. Urga (2007). A risk management …