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Applied Financial Economics Letters Volume 2, 2006 - Issue 3
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Original Articles

A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH

Ming-Chih Lee Graduate Institute of Money, Banking and Finance, Tamkang University
,
Jer-Shiou Chiou Department of Finance and Banking, Shih-Chien University, 70, Ta-Chih St., Taipei 104, TaiwanCorrespondence[email protected]
&
Cho-Min Lin Department of Finance, Ling Tung University,
Pages 183-188 | Published online: 23 Aug 2006

Citations (11)

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Raymond Kwong & Helen Wong. (2022) Value-at-risk in the presence of asset price bubbles. Journal of Applied Economics 25:1, pages 361-384.
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Camilo Sarmiento. (2007) Financial impact of risk on municipal earnings. Applied Financial Economics Letters 3:2, pages 95-98.
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Articles from other publishers (9)

Christophe Schinckus, Canh Phuc Nguyen & Felicia Hui Ling Chong. (2022) Between financial and algorithmic dynamics of cryptocurrencies: An exploratory study. International Journal of Finance & Economics 28:3, pages 3055-3070.
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Edib Smolo, Rashed Jahangir, Ruslan Nagayev & Ahmet F. Aysan. (2023) Performances of leading Islamic finance markets prior to and during the COVID-19 pandemic. Heliyon 9:1, pages e12870.
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Mahdi Ghaemi Asl, Muhammad Mahdi Rashidi & Seyed Ali Hosseini Ebrahim Abad. (2021) Emerging digital economy companies and leading cryptocurrencies: insights from blockchain-based technology companies. Journal of Enterprise Information Management 34:5, pages 1506-1550.
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Juan Meng, He Nie, Bin Mo & Yonghong Jiang. (2020) Risk spillover effects from global crude oil market to China’s commodity sectors. Energy 202, pages 117208.
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Nguyen Phuc Canh, Udomsak Wongchoti, Su Dinh Thanh & Nguyen Trung Thong. (2019) Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. Finance Research Letters 29, pages 90-100.
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Nor Syahilla Abdul Aziz, Spyridon Vrontos & Haslifah M. Hasim. (2019) Evaluation of multivariate GARCH models in an optimal asset allocation framework. The North American Journal of Economics and Finance 47, pages 568-596.
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Buerhan Saiti & Nazrul Hazizi Noordin. (2018) Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis. International Journal of Emerging Markets 13:1, pages 267-289.
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Emmanuel Carsamer. (2016) Volatility transmission in African foreign exchange markets. African Journal of Economic and Management Studies 7:2, pages 205-224.
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Edib Smolo, Rashed Jahangir, Ruslan Nagayev, Christo Tarazi & Ahmet Faruk Aysan. (2021) Back to Normal? Performance of Leading Islamic Capital Markets Since the Covid-19 Outbreak. SSRN Electronic Journal.
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