Estimating value at risk of portfolio by conditional copula-GARCH method
| Year of publication: |
2009
|
|---|---|
| Authors: | Huang, Jen-Jsung ; Lee, Kuo-Jung ; Liang, Hueimei ; Lin, Wei-Fu |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 45.2009, 3, p. 315-324
|