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ARMA-GARCH
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Risk Management Project
Keyword:
BIC
,
Expected Shortfall
,
AIC
,
Portfolio Optimization
,
Chi-square test
,
ARMA-GARCH
,
Value-at-risk
, and
Risk Management
Creator:
Yan, Lu
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
Risk Management Project
Keyword:
Value-at-risk
,
BIC
,
ARMA-GARCH
,
Portfolio Optimization
,
Chi-square test
,
AIC
,
Risk Management
, and
Expected Shortfall
Creator:
Shen, Chen
Advisor:
Blais, Marcel Y.
Publisher:
Worcester Polytechnic Institute
Date Created:
2012-05-02
Resource Type:
Report
Degree:
MS
Unit (Department):
Mathematical Sciences
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Masters Reports
2
Year
2012
2
Creator
Shen, Chen
1
Yan, Lu
1
Advisor
Blais, Marcel Y.
2
Contributor
Blais, Marcel Y.
2
Unit (Department)
Mathematical Sciences
2
Publisher
Worcester Polytechnic Institute
2
Resource type
Report
2
