Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk

Author： Santos Andr A. P.   Nogales Francisco J.   Ruiz Esther  

Publisher： Oxford University Press

ISSN： 1479-8417

Source： Journal of Financial Econometrics, Vol.11, Iss.2, 2013-03, pp. : 400-441

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