On the covariance matrices used in value at risk models

Journal of Derivatives

Volumn 4, Issue 3, 1997, Pages 50-62

  Alexander, C O ^a,b   Leigh, C T ^c  

^a UNIVERSITY OF SUSSEX   (United Kingdom)

^b Algorithmics Inc   (Canada)

^c Risk Monitoring and Control at Robert Fleming   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85015447886     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407974     Document Type: Article

References (16)

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