Modelling VaR for foreign-asset portfolios in continuous time

Fen-Ying Chen and Szu-Lang Liao

Economic Modelling, 2009, vol. 26, issue 1, 234-240

Keywords: Continuous; time; Foreign-asset; portfolio; Volatility; of; exchange; rate; Correlation; coefficient; Backtesting (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264-9993(08)00080-1
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:26:y:2009:i:1:p:234-240

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().