Modelling VaR for foreign-asset portfolios in continuous time
| Year of publication: |
2009
|
|---|---|
| Authors: | Chen, Fen-Ying ; Liao, Szu-Lang |
| Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 26.2009, 1, p. 234-240
|
| Publisher: |
Elsevier |
| Keywords: | Continuous time Foreign-asset portfolio Volatility of exchange rate Correlation coefficient Backtesting |