Open AccessPerformance Analysis of Volatility Models for Estimating Portfolio Value at Risk
Author(s) -
Sung Chil Yeo,
Zhaojing Li
Publication year - 2015
Publication title -
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
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