Open AccessPerformance Analysis of Volatility Models for Estimating Portfolio Value at Risk
Author(s) -
Sung Chil Yeo,
Zhaojing Li
Publication year - 2015
Publication title -
eung'yong tong'gye yeon'gu/the korean journal of applied statistics
Language(s) - English
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2015.28.3.541
Subject(s) - univariate , portfolio , econometrics , value at risk , multivariate statistics , volatility (finance) , vector autoregression , economics , actuarial science , statistics , mathematics , financial economics , risk management , finance