A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
Ming-Chih Lee, Jer-Shiou Chiou and Cho-Min Lin
| 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
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| Subject: | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003326276