Incorporating the time-varying tail-fatness into the historical simulation method for portfolio value-at-risk

Review of Pacific Basin Financial Markets and Policies

Volumn 9, Issue 2, 2006, Pages 257-274

  Lin, Chu Hsiung ^a   Chien, Chang Cheng Chang ^a   Chen, Sunwu Winfred ^a  

^a NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

Author keywords

Historical simulation method; Power exponentially weighted moving average; Value at Risk

Indexed keywords

ECONOMETRICS; FINANCIAL MARKET;

EID: 33745233041     PISSN: 02190915     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219091506000720     Document Type: Article

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