Open AccessVector at Risk and alternative Value at Risk
Author(s) -
C.S. Honga,
Shifeng Han,
G.P. Lee
Publication year - 2016
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.2016.29.4.689
Subject(s) - value at risk , vector autoregression , multivariate statistics , quantile , bivariate analysis , econometrics , expected shortfall , portfolio , risk measure , multivariate t distribution , risk management , mathematics , multivariate normal distribution , statistics , economics , financial economics , finance