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Journal articles (2009), Quantitative Finance, 9 (6), pp. 737-745

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Verbeek Marno, Rombouts Jeroen

VERBEEK, M. and ROMBOUTS, J. (2009). Evaluating portfolio Value-at-Risk using semi-parametric GARCH models. Quantitative Finance, 9(6), pp. 737-745.