Dynamic factor Value-at-Risk for large heteroskedastic...

Journal of Banking & Finance 2013 / 11 Vol. 37; Iss. 11

Dynamic factor Value-at-Risk for large heteroskedastic portfolios

Aramonte, Sirio, Giudice Rodriguez, Marius del, Wu, Jason
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Volume:
37
Language:
english
Journal:
Journal of Banking & Finance
DOI:
10.1016/j.jbankfin.2013.07.038
Date:
November, 2013
File:
PDF, 2.13 MB
english, 2013
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