Value at risk : on the stability and forecasting of the variance-covariance matrix

James Engel and Marianne Gizycki

Year of publication:	1999
Authors:	Engel, James ; Gizycki, Marianne C.
Publisher:	[Sydney, NSW] : Reserve Bank of Australia, Economic Research Dep.
Subject:	Bankrisiko \| Bank risk \| Wechselkurs \| Exchange rate \| Zins \| Interest rate \| ARCH-Modell \| ARCH model \| Australien \| Australia \| Varianzanalyse \| Analysis of variance \| 1983-1997

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