GARCH-class models estimations and value-at-risk analysis for exchange rate
Year of publication: |
2011
|
---|---|
Authors: | Mabrouk, Samir ; Aloui, Chaker |
Published in: |
International Journal of Monetary Economics and Finance. - Inderscience Enterprises Ltd, ISSN 1752-0479. - Vol. 4.2011, 3, p. 254-278
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | value at risk | VaR | expected shortfall | fat tail | long memory | exchange rates | GARCH |
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