INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS

INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS

Bibliographic Details
Main Authors: Ioan TRENCA, Simona MUTU
Format: Article
Language:English
Published: Universitaria Publishing House 2009-11-01
Series:Finanţe: Provocările viitorului
Online Access:http://www.financejournal.ro/fisiere/revista/150908522010-06.pdf
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spelling doaj-2ab3dc0517b043f98b0eaf934de0bad72020-11-24T22:46:16ZengUniversitaria Publishing HouseFinanţe: Provocările viitorului1583-37121583-37122009-11-012104856INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELSIoan TRENCA0Simona MUTU 1„Babeş -Bolyai” University, Cluj-Napoca„Babeş -Bolyai” University, Cluj-Napocahttp://www.financejournal.ro/fisiere/revista/150908522010-06.pdf
collection DOAJ
language English
format Article
sources DOAJ
author Ioan TRENCA
Simona MUTU
spellingShingle Ioan TRENCA
Simona MUTU
INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
Finanţe: Provocările viitorului
author_facet Ioan TRENCA
Simona MUTU
author_sort Ioan TRENCA
title INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
title_short INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
title_full INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
title_fullStr INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
title_full_unstemmed INTEREST RATE RISK MANAGEMENT - CALCULATING VALUE AT RISK USING EWMA AND GARCH MODELS
title_sort interest rate risk management - calculating value at risk using ewma and garch models
publisher Universitaria Publishing House
series Finanţe: Provocările viitorului
issn 1583-3712
1583-3712
publishDate 2009-11-01
url http://www.financejournal.ro/fisiere/revista/150908522010-06.pdf
work_keys_str_mv AT ioantrenca interestrateriskmanagementcalculatingvalueatriskusingewmaandgarchmodels
AT simonamutu interestrateriskmanagementcalculatingvalueatriskusingewmaandgarchmodels
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