An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets

An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets

Master of Management in Finance & Investment Faculty of Commerce Law and Management Wits Business School University of The Witwatersrand 2016 === The Value-at-Risk (VaR) measurement – which is a single summary, distribution independent statistical measure of losses arising as a result of mar...

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Bibliographic Details
Main Author: Mombeyarara, Victor
Format: Others
Language:en
Published: 2017
Subjects:
Finance > Mathematical models
Investments > Mathematical models
Risk management > South Africa
Online Access:Mombeyarara, Victor (2017) An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23218>
http://hdl.handle.net/10539/23218

Internet

Mombeyarara, Victor (2017) An ICA-GARCH approach to computing portfolio VAR with applications to South African financial markets, University of the Witwatersrand, Johannesburg, <http://hdl.handle.net/10539/23218>
http://hdl.handle.net/10539/23218

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