Nima Nooshi

Karlsruhe Institute of Technology

PhD Student

Kaiserstra├če 12

Karlsruhe, Baden W├╝rttemberg 76131

Germany

SCHOLARLY PAPERS

1

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332

SSRN CITATIONS

1

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0

Scholarly Papers (1)

1.

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Number of pages: 11 Posted: 18 Mar 2012
Karlsruhe Institute of Technology, University of Karlsruhe, Texas Tech University and EDHEC Business School
Downloads 332 (98,917)
Citation 1

Abstract:

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Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization