Article

Title:
Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework
Journal:
Journal Of Financial Econometrics
Year:
2005
Volume:
3
Pages:
126-168
JEL codes:
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
C52 - Model Evaluation and Selection
G15 - International Financial Markets
G11 - Portfolio Choice; Investment Decisions
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