Value-at-Risk: Theory and Practice

References

Alexander, Carol O. ( 2001). Market Models, Chichester: John Wiley & Sons.

Alexander, Carol O. and A. M. Chibumba ( 1997). Multivariate orthogonal factor GARCH, working paper.

Apostol, Thomas M. ( 1969). Calculus, Vols. I and II, 2 nd ed., New York: John Wiley & Sons.

Baxter, Martin and Andrew Rennie ( 1996). Financial Calculus: An Introduction to Derivative Pricing, Cambridge: Cambridge University Press.

Bernstein, Peter L. ( 1992). Capital Ideas: The Improbable Origins of Modern Wall Street, New York: Free Press.

Black, Fischer ( 1976). The Pricing of Commodity Contracts, Journal of Financial Economics, 3, 167 179.

Black, Fischer and Myron S. Scholes ( 1973). The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637 654.

Bollerslev, Tim ( 1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307 328.

Bollerslev, Tim ( 1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498 505.

Britten-Jones, Mark and Stephen M. Schaefer ( 1997). Nonlinear value-at-risk: the distribution of a quadratic approximation to portfolio value, working paper.

Burden, Richard L. and J. Douglas Faires ( 1993). Numerical Analysis, 5 th ed., Boston:

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