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Korean Journal of Financial Studies 2008;37(5):877-912.
Published online October 31, 2008.
Model Selection for Estimating Portfolio VaR in Korean Stock Market
Sang Jin Lee, Ki Beom Binh
단일변량모형과 다변량모형의 포트폴리오 VaR 측정 성과
이상진, 빈기범
Key Words: 조건부적 위험흡수성 검정,CCC 모형,CCC model,Conditional coverage test,DCC 모형,DCC model,O-GARCH 모형,O-GARCH model,VaR
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