Incorporating the time-varying tail-fatness into the historical simulation method for portfolio value-at-risk

Chu-Hsiung Lin; Chang-Cheng Chang Chien; Sunwu Winfred Chen

Year of publication:	2006
Authors:	Lin, Chu-Hsiung ; Chien, Chang-Cheng Chang ; Chen, Sunwu Winfred
Published in:	Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 9.2006, 2, p. 257-274
Subject:	Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Simulation \| Industrieländer \| Industrialized countries

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