Grant: Standard Research Grants
HEC Montréal
$43,927.00
Term structure of portfolio return distributions under GARCH with applications to VaR (value at risk) and asset allocation
EF 2001-02
Programme
Standard Research Grants
Bénéficiaire
Emplacement
Quebec, Canada
Type de bénéficiaire
Academia
Type
Grant
Source
SSHRC's Expenditures File
Tel que publié
Cle
3237
Name nom
Simonato, Jean-Guy
Role
Applicant
Award amount
43927.00
Fiscal year exercice financier
2001
Institution
HEC Montréal
Établissement
HEC Montréal
Province id
QC
Province en
Québec
Province fr
Québec
Competition year
2001
Title
Term structure of portfolio return distributions under GARCH with applications to VaR (value at risk) and asset allocation
Keywords
GARCH process; portfolio return distribution; value at risk; asset allocation
Program name en
Standard Research Grants
Program name fr
Subventions ordinaires de recherche
Discipline en
Finance, Banking, Insurance
Discipline fr
Finances, assurances, systèmes bancaires
Main discipline en
Management, Business, Administrative Studies
Main discipline fr
Sciences administratives, gestion des affaires et commerce
Area of research en
Financial and Monetary Systems
Area of research fr
Systèmes financiers et monétaires
