Forecasting value‐at‐risk with a parsimonious portfolio spillover GARCH (PS‐GARCH) model

By Michael Mcaleer, Bernardo da Veiga. 2008

93 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c8dffede253307e2286ceeb3cfe17380fd44f049

Citations in the corpus

• The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges (2009, unknown): “( McAleer and Oxley (2005) ), for managing investments (Caporin and McAleer”