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A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH
Lee, Mingchih; Chiou, Jer-shiou; Lin, Cho-min - In: Applied financial economics letters 2 (2006) 3, pp. 183-188
Persistent link: https://www.econbiz.de/10003326276
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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140