PT - JOURNAL ARTICLE AU - C.O. Alexander AU - C.T. Leigh TI - On the Covariance Matrices Used in Value at Risk Models AID - 10.3905/jod.1997.407974 DP - 1997 Feb 28 TA - The Journal of Derivatives PG - 50--62 VI - 4 IP - 3 4099 - https://pm-research.com/content/4/3/50.short 4100 - https://pm-research.com/content/4/3/50.full