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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/10008162475
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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. 234-241
Persistent link: https://www.econbiz.de/10008879190
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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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A comparative study of VaR estimation for structured products
Chen, Fen-ying - In: Economics research international (2010), pp. 1-16
Persistent link: https://www.econbiz.de/10009958135
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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/10010185312
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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) 3, pp. 45-69
Persistent link: https://www.econbiz.de/10009911506
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A comparative study of VaR estimation for structured products
Chen, Fen-ying - In: Economics research international (2010), pp. 1-16
Persistent link: https://www.econbiz.de/10009317082
Cover Image
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
Cover Image
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
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Estimation of VaR in conditional heteroscedastic models for principal-protected notes
Chen, Fen-Ying - In: Journal of Risk Finance 9 (2008) November, pp. 492-501
Purpose – The aim of this paper is to examine the accuracy of GARCH and provide a comparison of GARCH-type and the other time series models in financial commodity markets. Design/methodology/approach – First, a model fitting is performed to choose suitable models with conditional volatility...
Persistent link: https://www.econbiz.de/10004966306