Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/11/2/400/2345950/nbs015.pdf
Reference32 articles.
1. Multivariate Stochastic Volatility: A Review
2. Multivariate GARCH models: a survey
3. How Accurate Are Value-at-Risk Models at Commercial Banks?
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