VALUE AT RISK IN STOCK PORTFOLIO USING T-COPULA: Case Study of PT. Indofood Sukses Makmur, Tbk. and Bank Mandiri (Persero), Tbk.
Value at Risk (VaR) is a measuring tool that can calculate the amount of the worst losses that occur in the stock portfolio with a certain level of confidence and in certain period of time. In general, financial data has a high volatility value, which is caused the variance of residual model is not...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Universitas Diponegoro
2019-12-01
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| Series: | Media Statistika |
| Assuntos: | |
| Acceso en liña: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/24804 |
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