Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Yuan-Hung Hsu Ku and Jai Jen Wang
| 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: | Portfolio-Management | Portfolio selection | Wechselkurs | Exchange rate | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätztheorie | Estimation theory | Währungsrisiko | Exchange rate risk |
| 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/10003741298