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Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-ying; Liao, Szu-Lang - In: Economic modelling 26 (2009) 1, pp. 234-240
Persistent link: https://www.econbiz.de/10003817081
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Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying - In: The journal of risk model validation 5 (2011) 1, pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
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Modeling value-at-risk for international portfolios in different jump-diffusion processes
Chen, Fen-ying - In: The journal of risk model validation 7 (2013) 2, pp. 93-117
Persistent link: https://www.econbiz.de/10009780648