FOREX Risk: Measurement and Evaluation Using Value-at-Risk
Author:
Publisher
Wiley
Subject
Finance,Business, Management and Accounting (miscellaneous),Accounting
Reference25 articles.
1. Principal Component Models for Generating Large GARCH Covariance Matrices
2. C. Alexander, and A. Chibumba, 1998 , 'Orthogonal GARCH: An Empirical Validation on Equities, Foreign-Exchange and Interest Rates' , Working Paper(University of Sussex).
3. On the Covariance Matrices Used in Value at Risk Models
4. Generalized autoregressive conditional heteroskedasticity
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