Evaluating portfolio Value-at-Risk using semi-parametric...

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Rombouts, Jeroen V.K., Verbeek, Marno
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Volume:
9
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680902785284
Date:
September, 2009
File:
PDF, 337 KB
english, 2009
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