Evaluating portfolio value-at-risk using semi-parametric GARCH models

by Jeroen V. K. Rambouts and Marno Verbeek

Year of publication:	Dec. 2004
Other Persons:	Rambouts, Jeroen V. K. (contributor) ; Verbeek, Marno (contributor)
Publisher:	Montréal : IEA
Subject:	ARCH-Modell \| ARCH model \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Nichtparametrisches Verfahren \| Nonparametric statistics

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