Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev
Evaluating Interest Rate Covariance Models within a
Value-at-Risk Framework
∗
Miguel A. Ferreira
†
ISCTE School of … volatility effects perform best with respect to statistical
loss functions. However, within a value-at-risk (VaR) framework, the …: Interest rates; Covariance models; GARCH; Forecasting; Risk Management, Value-at-
Risk
1Introduction
The short-term interest …