A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH

By Lee Ming-Chih   Chiou Jer-Shiou   Lin Cho-Min  

Applied Financial Economics Letters, Vol. 2, Iss. 3, 2006-05 ,pp. : 183-188

Routledge Ltd

Access to resources Recommend Favorite

Evaluating the hedging performance of the constant-correlation GARCH model

By Lien Donald   Tse Y. K.   Tsui Albert K. C.  

Applied Financial Economics, Vol. 12, Iss. 11, 2002-11 ,pp. : 791-798

Routledge Ltd

Access to resources Recommend Favorite

Testing the conditional CAPM using multivariate GARCH-M

By Hansson Bjorn   Hordahl Peter  

Applied Financial Economics, Vol. 8, Iss. 4, 1998-08 ,pp. : 377-388

Routledge Ltd

Access to resources Recommend Favorite

Liquidity Provision, Interest-Rate Risk, and the Choice between Banks and Mutual Funds

By Qi Jianping  

Journal of Institutional and Theoretical Economics JITE, Vol. 159, Iss. 3, 2003-09 ,pp. : 491-510

Mohr Siebeck

Access to resources Recommend Favorite

The information content of interest rate futures and time-varying risk premia

By Staikouras Sotiris K.  

Applied Financial Economics, Vol. 14, Iss. 11, 2004-07 ,pp. : 761-771

Routledge Ltd

Access to resources Recommend Favorite