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A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach

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Brooks, C., Clare, A.D. and Persand, G. (2002) A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach. The Manchester School, 70 (5). pp. 666-681. ISSN 1467-9957

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To link to this article DOI: 10.1111/1467-9957.00319


Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:24153
Publisher:Blackwell
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