Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

✍ Scribed by Cherif Guermat; Richard D.F. Harris

• Book ID: 114174698
• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 81 KB
• Volume: 18
• Category: Article
• ISSN: 0169-2070
• DOI: 10.1016/s0169-2070(01)00122-4