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

Informa UK Limited - Tập 2 Số 3 - Trang 183-188 - 2006
Ming‐Chih Lee1, Jer-Shiou Chiou2, Cho-Min Lin3
1Graduate Institute of Money , Banking and Finance , Tamkang University
2Department of Finance and Banking , Shih-Chien University , 70, Ta-Chih St., Taipei 104, Taiwan
3Department of Finance , Ling Tung University ,

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