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Value-at-risk for long and short trading positions

Published:2003 Issue:6 Volume:18 Page:641-663
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Giot Pierre,Laurent S�bastien

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference47 articles.

1. 2002. A new class of multivariate skew densities, with application to GARCH models. CORE DP 2002/20.

2. 2003. Multivariate GARCH models: a survey. CORE DP.

3. Value-at-Risk: a multivariate switching regime approach

4. 1976. Studies of stock market volatility changes. Proceedings of the American Statistical Association, Business and Economic Statistics Section 177-181.

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