GJR-GARCH model in value-at-risk of financial holdings
Author:
Affiliation:
1. a Department of Finance , National Taiwan University , 50, Taipei, Taiwan
2. b Department of Finance , Chung Yuan Christian University , Chung Li, Taiwan
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.595677
Reference28 articles.
1. Developing a stress testing framework based on market risk models
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3. Coherent Measures of Risk
4. How Accurate Are Value-at-Risk Models at Commercial Banks?
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