Evaluating portfolio value-at-risk using semi-parametric GARCH models

Jeroen VK Rombouts and Marno Verbeek

No 2299, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2009-01-01
Note: In : Quantitative Finance, 9(6), 737-745, 2009
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Related works:
Working Paper: Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models (2009)
Working Paper: Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (2005)
Working Paper: Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (2004)
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