Value-at-risk analysis for Taiwan stock index futures: Fat tails and conditional asymmetries in return innovations

Review of Quantitative Finance and Accounting

Volumn 22, Issue 2, 2004, Pages 79-95

  Huang, Yu Chuan ^a   Lin, Bor Jing ^b  

^a NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

^b Polaris Securities Group   (Taiwan)

Author keywords

APARCH; Fat tails; RiskMetrics; Value at risk

Indexed keywords

EID: 4043137402     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REQU.0000015851.78720.a9     Document Type: Article

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