Evaluating interest rate covariance models within a value-at-risk framework

Journal of Financial Econometrics

Volumn 3, Issue 1, 2005, Pages 126-168

  Ferreira, Miguel A ^a   Lopez, Jose A ^b  

^a UNIVERSITY INSTITUTE OF LISBON   (Portugal)

^b Economic Research Department   (United States)

Author keywords

Covariance models; Forecasting; GARCH; Interest rates; Rrisk management; Value at risk

Indexed keywords

EID: 27144492782     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi005     Document Type: Article

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