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"A multivariate FGD technique to improve VaR computation in equity markets."

Francesco Audrino, Giovanni Barone-Adesi (2005)

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DOI: 10.1007/S10287-004-0028-3

access: closed

type: Journal Article

metadata version: 2020-05-10

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Francesco Audrino, Giovanni Barone-Adesi:
A multivariate FGD technique to improve VaR computation in equity markets. Comput. Manag. Sci. 2(2): 87-106 (2005)

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