TY - JOUR T1 - On the Covariance Matrices Used in Value at Risk Models JF - The Journal of Derivatives SP - 50 LP - 62 DO - 10.3905/jod.1997.407974 VL - 4 IS - 3 AU - C.O. Alexander AU - C.T. Leigh Y1 - 1997/02/28 UR - https://pm-research.com/content/4/3/50.abstract N2 - 300 Multiple ChoicesThis is a pdf-only article and there is no markup to show you.full-text.pdf ER -