Work

Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates

Year: 2008

Type: article

Source: Applied Economics Letters

DOI: 10.1080/13504850600706958

Authors: Yuan-Hung Hsu Ku, Jai Jen Wang

Institutions: National Kaohsiung First University of Science and Technology, Feng Chia University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1996004140

FWCI: 0.514

Cites: 18

Cited by: 25

Related to: 10