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Filtering by: Creator Yan, Lu Publisher Worcester Polytechnic Institute

Risk Management Project

Keyword:

BIC, Expected Shortfall, AIC, Portfolio Optimization, Chi-square test, ARMA-GARCH, Value-at-risk, and Risk Management

Creator:

Yan, Lu

Advisor:

Blais, Marcel Y.

Publisher:

Worcester Polytechnic Institute

Date Created:

2012-05-02

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences