"Value at risk calculation through ARCH factor methodology: Proposal and ..."

J. David Cabedo Semper, Ismael Moya Clemente (2003)

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DOI: 10.1016/S0377-2217(02)00776-2

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type: Journal Article

metadata version: 2020-02-21

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J. David Cabedo Semper, Ismael Moya Clemente:
Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis. Eur. J. Oper. Res. 150(3): 516-528 (2003)

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