A value-at-risk analysis of carry trades using skew-GARCH...

Studies in Nonlinear Dynamics and Econometrics 2013 / 01 Vol. 17; Iss. 4

A value-at-risk analysis of carry trades using skew-GARCH models

Wang, Yu-Jen, Chung, Huimin, Guo, Jia-Hau
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Volume:
17
Language:
english
Journal:
Studies in Nonlinear Dynamics and Econometrics
DOI:
10.1515/snde-2012-0028
Date:
January, 2013
File:
PDF, 1.54 MB
english, 2013
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