Title:

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Authors:

Miguel Almeida Ferreira (ISCTE - Instituto Universitário de Lisboa)
Jose Lopez (Fed Res Bk of San Francisco)

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