An One-factor VaR Model for Stock Portfolio
- 30 June 2013
- journal article
- Published by The Korean Statistical Society in Korean Journal of Applied Statistics
- Vol. 26 (3), 471-481
- https://doi.org/10.5351/kjas.2013.26.3.471
Abstract
No abstract availableKeywords
This publication has 2 references indexed in Scilit:
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982